The Infinite Dimensional Henstock Integral and Problems of Black-Scholes Expectation

DOI10.1515/JAA.2002.1zbMath1042.28012OpenAlexW2151457321MaRDI QIDQ4781397

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Publication date: 2002

Published in: Journal of Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jaa.2002.1

zbMATH Keywords

geometric Brownian motionFeynman path integralsHenstock integralsderivative asset pricing

Mathematics Subject Classification ID

Path integrals in quantum mechanics (81S40) Stochastic integrals (60H05) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Denjoy and Perron integrals, other special integrals (26A39)

Related Items (3)

Splittings and disjunctions in reverse mathematics ⋮ Reverse mathematics of topology: dimension, paracompactness, and splittings ⋮ The strength of compactness in computability theory and nonstandard analysis

Cites Work

• Feynman's Path Integrals and Henstock's Non-Absolute Integration
• Integration in Product Spaces, Including Wiener and Feynman Integration

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