Real Analysis Exchange

Henstock's Version of Itô's Formula

Tuan Seng Chew and Tin Lam Toh

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Abstract

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.

Article information

Source
Real Anal. Exchange, Volume 35, Number 2 (2009), 375-390.

Dates
First available in Project Euclid: 22 September 2010

Permanent link to this document
https://projecteuclid.org/euclid.rae/1285160537

Mathematical Reviews number (MathSciNet)
MR2683604

Zentralblatt MATH identifier
1221.26015

Subjects
Primary: 26A39: Denjoy and Perron integrals, other special integrals 60H05: Stochastic integrals

Keywords
It\^o's formula Henstock's stochastic integral generalized Riemann approach

Citation

Toh, Tin Lam; Chew, Tuan Seng. Henstock's Version of Itô's Formula. Real Anal. Exchange 35 (2009), no. 2, 375--390. https://projecteuclid.org/euclid.rae/1285160537


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