The non-uniform Riemann approach to the multiple Itô-Wiener integral (Q1766444)

A natural question that arises is whether it is possible to use an explicit procedure of defining multiple Itô-Wiener integral by the Riemann approach, which is well known for its explicitness and directness. In fact, it was proved that by using Riemann approach with non-uniform mesh, stochastic integral can be seen as the limit of a sequence of Riemann sums [the authors and \textit{J.-Y. Tay}, ibid. 27, No.~2, 495--514 (2002; Zbl 1067.60025)]. In this paper, the authors show that in fact the non-uniform Riemann approach can also be used to give an alternative definition to the multiple Itô-Wiener integral and that this definition, which is called multiple Itô-McShane integral, is equivalent to the classical multiple Itô-Wiener integral.