HENSTOCK'S VERSION OF ITÔ'S FORMULA
Itô's Formula is the stochastic analogue of the change of variable formula for deterministic integrals. It is a useful tool in dealing with stochastic integration. In this paper, using Henstock's approach, we derive two versions of Itô's Formula. Henstock's or generalized Riemann...
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| Veröffentlicht in: | Real analysis exchange 2009-01, Vol.35 (2), p.375-390 |
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| creator | Toh, Tin Lam Chew, Tuan Seng |
| description | Itô's Formula is the stochastic analogue of the change of variable formula for deterministic integrals. It is a useful tool in dealing with stochastic integration. In this paper, using Henstock's approach, we derive two versions of Itô's Formula. Henstock's or generalized Riemann approach has been successful in giving an alternative definition of stochastic integral, which is more explicit, intuitive and less measure theoretic. Henstock's approach provides a simpler and more direct proof of Itô's Formula, although we do not claim that it is a generalization of the classical results. [PUBLICATION ABSTRACT] |
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| ispartof | Real analysis exchange, 2009-01, Vol.35 (2), p.375-390 |
| issn | 0147-1937 1930-1219 |
| language | eng |
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| source | Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals; Project Euclid Complete |
| subjects | 26A39 60H05 generalized Riemann approach Henstock's stochastic integral Integrals It\^o's formula Mathematical functions Stochastic models Theorems Theoretical mathematics |
| title | HENSTOCK'S VERSION OF ITÔ'S FORMULA |
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