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Backwards Itô-Henstock's version of Itô's formula.

Authors :
Rulete, Ricky F.
Labendia, Mhelmar A.
Source :
Annals of Functional Analysis. Jan2020, Vol. 11 Issue 1, p208-225. 18p.
Publication Year :
2020

Abstract

In this paper, we formulate a version of Itô's formula for the backwards Itô-Henstock integral of an operator-valued stochastic process. Itô's formula is the stochastic analogue of the change of variable for deterministic integrals. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
*STOCHASTIC integrals
*STOCHASTIC processes
*INTEGRALS

Details

Language :
English
ISSN :
26397390
Volume :
11
Issue :
1
Database :
Academic Search Index
Journal :
Annals of Functional Analysis
Publication Type :
Academic Journal
Accession number :
141179521
Full Text :
https://doi.org/10.1007/s43034-019-00014-3
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