The generalized Riemann (or Henstock) approach to integration is well-known for its explicitness and directness. It has been used to give an alternative definition to the Itô integral and the multiple stochastic integral, see [1,3,8,9,11,12,13,14]. In this paper we shall derive the Henstock-Fubini's Theorem for multiple stochastic integral based on the Henstock approach. We also show that the iterated multiple integral formula is a direct consequence of Henstock-Fubini's theorem.
"On the Henstock-Fubini theorem for multiple Henstock integral." Real Anal. Exchange 30 (1) 295 - 310, 2004-2005.