Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/14458
Title: Generalized ITO integral and Henstock-Young integral
Authors: VARAYU BOONPOGKRONG
Keywords: Henstock, Stieltjes, Young Integral, p-variation, Stochastic Integral, Ito integral
Issue Date: 21-Dec-2004
Source: VARAYU BOONPOGKRONG (2004-12-21). Generalized ITO integral and Henstock-Young integral. ScholarBank@NUS Repository.
Abstract: The Ito integral is an integral of adapted processes with respect to a Brownian motion. It is an integral of Stieltjes-type. Unfortunately, paths of a Brownian motion are of unbounded variation on a compact interval. Hence the classical measure and integration theory cannot be applied to the Ito integral. K. Ito defined his integral in 1944 by the L^2-limit of a Cauchy sequence of integrals of simple processes. This approach is less intuitive than that of the Riemann-Stieltjes approach. In this thesis, we shall use the Riemann-Stieltjes approach with nonuniform meshes to study integrals of processes with respect to a Brownian motion, without assuming adaptedness. Furthermore, we also use this approach to study integrals with integrators of unbounded variation.
URI: http://scholarbank.nus.edu.sg/handle/10635/14458
Appears in Collections:Master's Theses (Open)

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