International Journal of Stochastic Analysis
 2014
DOI: 10.1155/2014/534864
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On Henstock Method to Stratonovich Integral with respect to Continuous Semimartingale

Haifeng Yang
1
,
Tin Lam Toh
2

Abstract: We will use the Henstock (or generalized Riemann) approach to define the Stratonovich integral with respect to continuous semimartingale in 2 space. Our definition of Stratonovich integral encompasses the classical definition of Stratonovich integral.

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