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|Title:||Henstock's multiple wiener integral and Henstock's version of Hu-Meyer theorem|
Multiple Wiener integral
|Source:||Toh, T.-L., Chew, T.-S. (2005-07). Henstock's multiple wiener integral and Henstock's version of Hu-Meyer theorem. Mathematical and Computer Modelling 42 (1-2) : 139-149. ScholarBank@NUS Repository. https://doi.org/10.1016/j.mcm.2004.03.008|
|Abstract:||Although it has been argued that the classical Riemann approach cannot be used to study stochastic integrals, it has been proved that the generalized Riemann approach (using nonuniform meshes) has been successful in defining stochastic integrals and even multiple Wiener integral in n-dimensional Euclidean space ℝn. The multiple Wiener integral considers only the nondiagonal part of ℝn. In this paper, we shall use generalized Riemann approach to study multiple Wiener integral on ℝn, including both the diagonal and the nondiagonal part, and derive the classical Hu-Meyer Theorem. © 2005 Elsevier Ltd. All rights reserved.|
|Source Title:||Mathematical and Computer Modelling|
|Appears in Collections:||Staff Publications|
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