On Itô-Kurzweil-Henstock integral and integration-by-part formula

Tin-Lam Toh; Tuan-Seng Chew

Czechoslovak Mathematical Journal (2005)

  • Volume: 55, Issue: 3, page 653-663
  • ISSN: 0011-4642

Abstract

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In this paper we derive the Integration-by-Parts Formula using the generalized Riemann approach to stochastic integrals, which is called the Itô-Kurzweil-Henstock integral.

How to cite

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Toh, Tin-Lam, and Chew, Tuan-Seng. "On Itô-Kurzweil-Henstock integral and integration-by-part formula." Czechoslovak Mathematical Journal 55.3 (2005): 653-663. <http://eudml.org/doc/30975>.

@article{Toh2005,
abstract = {In this paper we derive the Integration-by-Parts Formula using the generalized Riemann approach to stochastic integrals, which is called the Itô-Kurzweil-Henstock integral.},
author = {Toh, Tin-Lam, Chew, Tuan-Seng},
journal = {Czechoslovak Mathematical Journal},
keywords = {generalized Riemann approach; stochastic integral; integration-by-parts; generalized Riemann approach; stochastic integral; integration-by-parts},
language = {eng},
number = {3},
pages = {653-663},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {On Itô-Kurzweil-Henstock integral and integration-by-part formula},
url = {http://eudml.org/doc/30975},
volume = {55},
year = {2005},
}

TY - JOUR
AU - Toh, Tin-Lam
AU - Chew, Tuan-Seng
TI - On Itô-Kurzweil-Henstock integral and integration-by-part formula
JO - Czechoslovak Mathematical Journal
PY - 2005
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 55
IS - 3
SP - 653
EP - 663
AB - In this paper we derive the Integration-by-Parts Formula using the generalized Riemann approach to stochastic integrals, which is called the Itô-Kurzweil-Henstock integral.
LA - eng
KW - generalized Riemann approach; stochastic integral; integration-by-parts; generalized Riemann approach; stochastic integral; integration-by-parts
UR - http://eudml.org/doc/30975
ER -

References

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  9. Stochastic Integration and Differential Equations, Springer, New York, 1990. (1990) Zbl0694.60047MR1037262
  10. A variational approach to Itô’s integral, Proceedings of  SAP’s  98, Taiwan P291-299, World Scientifc, Singapore, 1999. (1999) MR1819215
  11. 10.1016/S0022-247X(03)00059-3, J.  Math. Anal. Appl. 280 (2003), 133–147. (2003) MR1972197DOI10.1016/S0022-247X(03)00059-3
  12. The Riemann approach to stochastic integration, PhD. Thesis, National University of Singapore, Singapore, 2001. (2001) 
  13. Stochastic integrals of Itô and Henstock, Real Anal. Exchange 18 (1992/3), 352–366. (1992/3) MR1228401

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