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
Hauptverfasser:	Toh, Tin Lam, Chew, Tuan Seng
Format:	Artikel
Sprache:	eng
Schlagworte:	26A39 60H05 generalized Riemann approach Henstock's stochastic integral Integrals It\^o's formula Mathematical functions Stochastic models Theorems Theoretical mathematics
Online-Zugang:	Volltext
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