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2009/2010 Henstock's Version of Itô's Formula
Tuan Seng Chew, Tin Lam Toh
Real Anal. Exchange 35(2): 375-390 (2009/2010).


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.


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Tuan Seng Chew. Tin Lam Toh. "Henstock's Version of Itô's Formula." Real Anal. Exchange 35 (2) 375 - 390, 2009/2010.


Published: 2009/2010
First available in Project Euclid: 22 September 2010

zbMATH: 1221.26015
MathSciNet: MR2683604

Primary: 26A39 , 60H05

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

Rights: Copyright © 2009 Michigan State University Press

Vol.35 • No. 2 • 2009/2010
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