Tin-Lam Toh, National Institute of Education, 1, Nanyang Walk, Singapore 637616, Republic of Singapore, e-mail: email@example.com
Abstract: The Henstock-Kurzweil approach, also known as the generalized Riemann approach, has been successful in giving an alternative definition to the classical Ito integral. The Riemann approach is well-known for its directness in defining integrals. In this note we will prove the Fundamental Theorem for the Henstock-Kurzweil-Ito integral, thereby providing a characterization of Henstock-Kurzweil-Ito integrable stochastic processes in terms of their primitive processes.
Keywords: belated differentiation, Henstock-Kurzweil-Ito integral, integrable processes
Classification (MSC2000): 26A39, 60H05
Full text of the article: