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Title: On Henstock-Kurzweil method to Stratonovich integral (English)
Author: Yang, Haifeng
Author: Toh, Tin Lam
Language: English
Journal: Mathematica Bohemica
ISSN: 0862-7959 (print)
ISSN: 2464-7136 (online)
Volume: 141
Issue: 2
Year: 2016
Pages: 129-142
Summary lang: English
Category: math
Summary: We use the general Riemann approach to define the Stratonovich integral with respect to Brownian motion. Our new definition of Stratonovich integral encompass the classical Stratonovich integral and more importantly, satisfies the ideal Itô formula without the “tail” term, that is, $$ f(W_{t})= f(W_{0})+\int _{0}^{t}f'(W_{s})\circ {\rm d}W_{s}. $$ Further, the condition on the integrands in this paper is weaker than the classical one. (English)
Keyword: Itô formula
Keyword: Henstock-Kurzweil approach
Keyword: Stratonovich integral
MSC: 26A39
MSC: 60H05
idZBL: Zbl 06587858
idMR: MR3499780
DOI: 10.21136/MB.2016.11
Date available: 2016-05-19T09:02:09Z
Last updated: 2020-07-01
Stable URL:
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