On Henstock-Kurzweil method to Stratonovich integral.
| Autor: | Yang, Haifeng |
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| Další autoři: | |
| Jazyk: | angličtina |
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| Druh dokumentu: | Non-fiction |
| ISSN: | 0862-7959 |
| Abstrakt: | Abstract: We use the general Riemann approach to define the Stratonovich integral with respect to Brownian motion. Our new definition of Stratonovich integral encompass the classical Stratonovich integral and more importantly, satisfies the ideal Itô formula without the "tail" term, that is, f(W_t)= f(W_0)+\int_0^tf'(W_s)\circ dW_s. Further, the condition on the integrands in this paper is weaker than the classical one. |
| Databáze: | Katalog Knihovny AV ČR |
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