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1976•Journal of the Australian Mathematical SocietyOpen access

On the generalized riemann integral and stochastic integral

Lee Tack-Wang

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Abstract

In Lee (submitted), the GW-integral (the generalized Riemann integral using Wiener measure) is defined. The object of this article is to define stochastic integral in the set up given in Lee (submitted). We also investigate the connection between the stochastic integral defined with the Legesgue counter part, the Paley-Wiener-Zygmund integral in Paley, Weiner and Zygmund (1933). Applications of the stochastic integral will be explained elsewhere.

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What this paper is about

In Lee (submitted), the GW-integral (the generalized Riemann integral using Wiener measure) is defined. The object of this article is to define stochastic integral in the set up given in Lee (submitted). We also investigate the connection between the stochastic integral defined with the Legesgue counter part, the Paley-Wiener-Zygmund integral in Paley, Weiner and Zygmund (1933). Applications of the stochastic integral will be explained elsewhere.

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Available abstract

In Lee (submitted), the GW-integral (the generalized Riemann integral using Wiener measure) is defined. The object of this article is to define stochastic integral in the set up given in Lee (submitted). We also investigate the connection between the stochastic integral defined with the Legesgue counter part, the Paley-Wiener-Zygmund integral in Paley, Weiner and Zygmund (1933). Applications of the stochastic integral will be explained elsewhere.

Key concepts: Mathematics, Riemann integral, Stratonovich integral, Daniell integral, Riemann–Stieltjes integral, Stochastic integral, Volume integral, Integral equation

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