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https://doi.org/10.1016/S0022-247X(03)00059-3
| Title: | The Riemann approach to stochastic integration using non-uniform meshes | Authors: | Toh, T.-L. Chew, T.-S. |
Keywords: | Henstock's approach Non-uniform meshes Stochastic integrals |
Issue Date: | 1-Apr-2003 | Citation: | Toh, T.-L., Chew, T.-S. (2003-04-01). The Riemann approach to stochastic integration using non-uniform meshes. Journal of Mathematical Analysis and Applications 280 (1) : 133-147. ScholarBank@NUS Repository. https://doi.org/10.1016/S0022-247X(03)00059-3 | Abstract: | In this note we shall prove that the stochastic integral with respect to a semimartingale can be defined by Riemann's approach. However in this approach we use non-uniform meshes instead of the usual uniform meshes. © 2003 Elsevier Science (USA). All rights reserved. | Source Title: | Journal of Mathematical Analysis and Applications | URI: | http://scholarbank.nus.edu.sg/handle/10635/104340 | ISSN: | 0022247X | DOI: | 10.1016/S0022-247X(03)00059-3 |
| Appears in Collections: | Staff Publications |
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