On Henstock method to Stratonovich integral with respect to continuous semimartingale

DOI10.1155/2014/534864MaRDI QIDQ2019189zbMATH OpenOpenAlexWikidataFDO

Authors Haifeng Yang, Tin Lam Toh

Publication date 27 March 2015

Published in International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2014/534864

zbMATH Keywords

continuous semimartingaleHenstock methodStratonovich integral

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05)

Review text

Summary: We use the Henstock (or generalized Riemann) approach to define the Stratonovich integral with respect to a continuous semimartingale in the \(L^2\) space. Our definition of Stratonovich integral encompasses the classical definition of Stratonovich integral.

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Cited in

(4)

• Approximation solution of nonlinear Stratonovich Volterra integral equations by applying modification of hat functions
• On Henstock-Kurzweil method to Stratonovich integral.
• On belated differentiation and a characterization of Henstock-Kurzweil-Ito integrable processes
• A note on Kurzweil-Henstock's anticipating non-stochastic integral.

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