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Keywords:
belated differentiation; Henstock-Kurzweil-Itô integral; integrable processes
belated differentiation; Henstock-Kurzweil-Itô integral; integrable processes
Summary:
The Henstock-Kurzweil approach, also known as the generalized Riemann approach, has been successful in giving an alternative definition to the classical Itô integral. The Riemann approach is well-known for its directness in defining integrals. In this note we will prove the Fundamental Theorem for the Henstock-Kurzweil-Itô integral, thereby providing a characterization of Henstock-Kurzweil-Itô integrable stochastic processes in terms of their primitive processes.
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