Real Analysis Exchange

The Itô-Henstock Stochastic Differential Equations

Tan Soon Boon and Toh Tin Lam

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Abstract

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

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

Dates
First available in Project Euclid: 15 April 2013

Permanent link to this document
https://projecteuclid.org/euclid.rae/1366030634

Mathematical Reviews number (MathSciNet)
MR3080601

Zentralblatt MATH identifier
1322.60126

Keywords
Itô-Henstock integral Stochastic Differential Equations Existence Theorem

Citation

Soon Boon, Tan; Tin Lam, Toh. The Itô-Henstock Stochastic Differential Equations. Real Anal. Exchange 37 (2011), no. 2, 411--424. https://projecteuclid.org/euclid.rae/1366030634


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