Tin-Lam Toh, Tuan-Seng Chew (2005)
Czechoslovak Mathematical Journal
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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.
Tin-Lam Toh, Tuan-Seng Chew (2005)
Mathematica Bohemica
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The Henstock-Kurzweil approach, also known as the generalized Riemann approach, has been successful in giving an alternative definition to the classical Itô integral. The Riemann approach is well-known for its directness in defining integrals. In this note we will prove the Fundamental Theorem for the Henstock-Kurzweil-Itô integral, thereby providing a characterization of Henstock-Kurzweil-Itô integrable stochastic processes in terms of their primitive processes.
Mhelmar A. Labendia, Timothy Robin Y. Teng, Elvira P. de Lara-Tuprio (2018)
Mathematica Bohemica
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In this paper, we introduce the Itô-Henstock integral of an operator-valued stochastic process and formulate a version of Itô's formula.
J. M. Angulo Ibáñez, R. Gutiérrez Jáimez (1988)
Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications
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Michał Kisielewicz (2001)
Discussiones Mathematicae Probability and Statistics
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Some special selections theorems for stochastic set-valued integrals with respect to the Lebesgue measure are given.