The Kurzweil-Henstock theory of stochastic integration

• Published in: Czechoslovak mathematical journal Vol. 62; no. 3; pp. 829 - 848
• Main Authors: Toh, Tin-Lam, Chew, Tuan-Seng
• Format: Journal Article
• Language: English
• Published: Berlin/Heidelberg Springer-Verlag 01.09.2012
• Subjects: Analysis; Convex and Discrete Geometry; Mathematical Modeling and Industrial Mathematics; Mathematics; Mathematics and Statistics; Ordinary Differential Equations; Kurzweil-Henstock; 26A39; stochastic integral; 60H05; convergence theorem

The Kurzweil-Henstock approach has been successful in giving an alternative definition to the classical Itô integral, and a simpler and more direct proof of the Itô Formula. The main advantage of this approach lies in its explicitness in defining the integral, thereby reducing the technicalities of...