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On the generalized riemann integral and stochastic integral

Published online by Cambridge University Press:  09 April 2009

Tack-Wang Lee
Tack-Wang Lee
Affiliation:
Department of Mathematics, University of Ghana, Legon, Ghana.
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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.

Type
Research Article
Information
Journal of the Australian Mathematical Society , Volume 21 , Issue 1 , February 1976 , pp. 64 - 71
Copyright
Copyright © Australian Mathematical Society 1976

References

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Paley, R. E. A. C., Wiener, N. & Zygmund, A. (1933), ‘Notes On Random Functions’, Math. Z. 37, 647–688.CrossRefGoogle Scholar