The Itô-Henstock stochastic differential equations

DOI10.14321/realanalexch.37.2.0411zbMath1322.60126OpenAlexW1480141742MaRDI QIDQ2392524

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

zbMATH Keywords

stochastic differential equationexistence theoremPicard iteration methodItō-Henstock stochastic integral equation

Mathematics Subject Classification ID

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

Related Items (1)

Operator-valued stochastic differential equations in the context of Kurzweil-like equations

Cites Work

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• Henstock's version of Itô's formula
• The non-uniform Riemann approach to Itô's integral.
• Introduction to stochastic integration.
• On Ito-Kurzweil-Henstock Integral and Integration-by-Part Formula
• Modeling with Itô Stochastic Differential Equations
• On belated differentiation and a characterization of Henstock-Kurzweil-Ito integrable processes
• The Kurzweil-Henstock theory of stochastic integration

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