On belated differentiation and a characterization of Henstock-Kurzweil-Ito integrable processes

Title:

On belated differentiation and a characterization of Henstock-Kurzweil-Ito integrable processes

Creator:

Toh, Tin-Lam and Chew, Tuan-Seng

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:ccaae46c-c5ba-46f4-ab01-28643bcf910b
uuid:ccaae46c-c5ba-46f4-ab01-28643bcf910b
doi:10.21136/MB.2005.134223

Subject:

belated differentiation, Henstock-Kurzweil-Itô integral, and integrable processes

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

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.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

63-72

Source:

Mathematica bohemica | 2005 Volume:130 | Number:1

Harvested from:

CDK

Metadata only:

false