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On Henstock Method to Stratonovich Integral with respect to Continuous Semimartingale

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  • Haifeng Yang
  • Tin Lam Toh

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.

Suggested Citation

  • Haifeng Yang & Tin Lam Toh, 2014. "On Henstock Method to Stratonovich Integral with respect to Continuous Semimartingale," International Journal of Stochastic Analysis, Hindawi, vol. 2014, pages 1-7, December.
    • Handle: RePEc:hin:jnijsa:534864
    DOI: 10.1155/2014/534864
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