On Henstock-Kurzweil method to Stratonovich integral
We use the general Riemann approach to define the Stratonovich integral with respect to Brownian motion. Our new definition of Stratonovich integral encompass the classical Stratonovich integral and more importantly, satisfies the ideal Itô formula without the "tail" term, that is,...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Institute of Mathematics of the Czech Academy of Science
2016-07-01
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| Series: | Mathematica Bohemica |
| Subjects: | |
| Online Access: | http://mb.math.cas.cz/full/141/2/mb141_2_2.pdf |