Henstock's version of Itô's formula
type: Item
instance of: scholarly article
title: Henstock's version of Itô's formula
zbMATH Open document ID: 1221.26015
author: Tin Lam Toh
author: Tuan Seng Chew
published in: Real Analysis Exchange
publication date: 2011-06-07T00:00:00Z
review text: Itô's Formula is a very useful tool in the stochastic calculus. In this paper, the authors, using the generalized Riemann integral approach, gave a simpler and direct proof of Itô's Formula.
reviewed by: Jitan Lu
Mathematics Subject Classification ID: 26A39
Mathematics Subject Classification ID: 60H05
zbMATH DE Number: 5904825
zbMATH Keywords: Itô's formula
zbMATH Keywords: Henstock's stochastic integral
zbMATH Keywords: generalized Riemann approach
MaRDI profile type: Publication
full work available at URL: realanalexch.35.2.0375
OpenAlex ID: W2060680656
DOI: 10.14321/REALANALEXCH.35.2.0375
description: scientific article; zbMATH DE number 5904825