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2004-2005 On the Henstock-Fubini theorem for multiple Henstock integral
Toh Tin-Lam, Chew Tuan-Seng
Real Anal. Exchange 30(1): 295-310 (2004-2005).


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.


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Toh Tin-Lam. Chew Tuan-Seng. "On the Henstock-Fubini theorem for multiple Henstock integral." Real Anal. Exchange 30 (1) 295 - 310, 2004-2005.


Published: 2004-2005
First available in Project Euclid: 27 July 2005

zbMATH: 1068.60076
MathSciNet: MR2127534

Primary: 26A39
Secondary: 60H05

Keywords: Fubini , Henstock , Multiple stochastic integral , non-uniform meshes

Rights: Copyright © 2004 Michigan State University Press

Vol.30 • No. 1 • 2004-2005
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