Real Analysis Exchange

The Itô-Henstock Stochastic Differential Equations

Tan Soon Boon and Toh Tin Lam

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In this paper, we study the stochastic integral equation with its stochastic integral defined using the Henstock approach, or commonly known as the generalized Riemann approach, instead of the classical Itô integral, which we shall call it the Itô-Henstock integral equation. Our aim is to prove the existence of solution of the Itô-Henstock integral equation using the well known method used in the existence theorem of the ordinary differential equation, namely the Picard’s iteration method.

Article information

Real Anal. Exchange, Volume 37, Number 2 (2011), 411-424.

First available in Project Euclid: 15 April 2013

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Itô-Henstock integral Stochastic Differential Equations Existence Theorem


Soon Boon, Tan; Tin Lam, Toh. The Itô-Henstock Stochastic Differential Equations. Real Anal. Exchange 37 (2011), no. 2, 411--424.

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