summary: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, $$ f(W_{t})= f(W_{0})+\int _{0}^{t}f'(W_{s})\circ {\rm d}W_{s}. $$ Further, the condition on the integrands in this paper is weaker than the classical one
summary:In 1938, L. C. Young proved that the Moore-Pollard-Stieltjes integral $\int _a^bf\mathrm{d}g...
In this Chapter, the basic concepts of stochastic integration are explained in a way that is readily...
By using the relation between the Ito integral and the Stratonovich integral, a nonstandard definiti...
summary:We use the general Riemann approach to define the Stratonovich integral with respect to Brow...
summary:The Henstock-Kurzweil approach, also known as the generalized Riemann approach, has been suc...
The weak Stratonovich integral is defined as the limit, in law, of Stratonovich-type symmetric Riema...
summary:The Kurzweil-Henstock approach has been successful in giving an alternative definition to th...
summary:In this paper we derive the Integration-by-Parts Formula using the generalized Riemann appro...
Let B be a fractional Brownian motion with Hurst parameter H=1/6. It is known that the symmetric Str...
ENGLISH: The theory of the Riemann integral was not fully satisfactory. Many important functions ...
Given a Gaussian process $X$, its canonical geometric rough path lift $\mathbf{X}$, and a solution $...
U ovom diplomskom radu proučavana je Stratonovicheva stohastička diferencijalna jednadžba. Najprije ...
ABSTRACT. We give a fairly complete survey of the stochastic integration with respect to the fractio...
Let wt te [0,1], be a standard, Ft-adapted Brownian motion. Let xt be another, not necessarily adapt...
AbstractWe construct a multiple Stratonovich-type integral with respect to the fractional Brownian m...
summary:In 1938, L. C. Young proved that the Moore-Pollard-Stieltjes integral $\int _a^bf\mathrm{d}g...
In this Chapter, the basic concepts of stochastic integration are explained in a way that is readily...
By using the relation between the Ito integral and the Stratonovich integral, a nonstandard definiti...
summary:We use the general Riemann approach to define the Stratonovich integral with respect to Brow...
summary:The Henstock-Kurzweil approach, also known as the generalized Riemann approach, has been suc...
The weak Stratonovich integral is defined as the limit, in law, of Stratonovich-type symmetric Riema...
summary:The Kurzweil-Henstock approach has been successful in giving an alternative definition to th...
summary:In this paper we derive the Integration-by-Parts Formula using the generalized Riemann appro...
Let B be a fractional Brownian motion with Hurst parameter H=1/6. It is known that the symmetric Str...
ENGLISH: The theory of the Riemann integral was not fully satisfactory. Many important functions ...
Given a Gaussian process $X$, its canonical geometric rough path lift $\mathbf{X}$, and a solution $...
U ovom diplomskom radu proučavana je Stratonovicheva stohastička diferencijalna jednadžba. Najprije ...
ABSTRACT. We give a fairly complete survey of the stochastic integration with respect to the fractio...
Let wt te [0,1], be a standard, Ft-adapted Brownian motion. Let xt be another, not necessarily adapt...
AbstractWe construct a multiple Stratonovich-type integral with respect to the fractional Brownian m...
summary:In 1938, L. C. Young proved that the Moore-Pollard-Stieltjes integral $\int _a^bf\mathrm{d}g...
In this Chapter, the basic concepts of stochastic integration are explained in a way that is readily...
By using the relation between the Ito integral and the Stratonovich integral, a nonstandard definiti...