The Itô-Henstock stochastic differential equations

DOI10.14321/REALANALEXCH.37.2.0411zbMATH Open1322.60126OpenAlexW1480141742MaRDI QIDQ2392524FDOQ2392524

Authors: Tan Soon Boon, Tin Lam Toh 

Publication date: 1 August 2013

Published in: Real Analysis Exchange (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.rae/1366030634

Recommendations

• Stochastic integrals of Itô and Henstock
• A descriptive definition of the Itô-Henstock integral for the operator-valued stochastic process
• The non-uniform Riemann approach to Itô's integral.
• The stochastic integral of Henstock
• Henstock's version of Itô's formula

zbMATH Keywords

stochastic differential equationPicard iteration methodexistence theoremItō-Henstock stochastic integral equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic integral equations (60H20)

Cites Work

• Modeling with Itô Stochastic Differential Equations
• Introduction to stochastic integration.
• Title not available (Why is that?)
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• Henstock's version of Itô's formula
• The non-uniform Riemann approach to Itô's integral.
• On Ito-Kurzweil-Henstock Integral and Integration-by-Part Formula
• On belated differentiation and a characterization of Henstock-Kurzweil-Ito integrable processes
• The Kurzweil-Henstock theory of stochastic integration.

Cited In (8)

• Stochastic integrals of Itô and Henstock
• The Kurzweil-Henstock theory of stochastic integration.
• Henstock's version of Itô's formula
• On Henstock method to Stratonovich integral with respect to continuous semimartingale
• A note on Henstock-Itô's non-stochastic integral
• The non-uniform Riemann approach to Itô's integral.
• Itô stochastic differential equations as 2-jets
• Operator-valued stochastic differential equations in the context of Kurzweil-like equations

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