On Henstock Method to Stratonovich Integral with respect to Continuous Semimartingale

Haifeng Yang and Tin Lam Toh

International Journal of Stochastic Analysis, 2014, vol. 2014, 1-7

Abstract:

We will use the Henstock (or generalized Riemann) approach to define the Stratonovich integral with respect to continuous semimartingale in space. Our definition of Stratonovich integral encompasses the classical definition of Stratonovich integral.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:534864

DOI: 10.1155/2014/534864

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