On Henstock-Kurzweil method to Stratonovich integral

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)=...

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Bibliographic Details
Published inMathematica bohemica Vol. 141; no. 2; pp. 129 - 142
Main Authors Yang, Haifeng, Toh, Tin Lam
Format Journal Article
LanguageEnglish
Published Institute of Mathematics of the Czech Academy of Science 01.01.2016
Subjects
Henstock-Kurzweil approach
Itô formula
Stratonovich integral
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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^tf'(W_s)\circ{\rm d}W_s. Further, the condition on the integrands in this paper is weaker than the classical one.
ISSN:0862-7959
2464-7136
DOI:10.21136/MB.2016.11