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On the Henstock-Fubini theorem for multiple stochastic integrals. (English) Zbl 1068.60076

The Henstock approach to integration generalizes the Riemann integration by allowing non-uniform meshes in the definition of the integral. It can be used to define stochastic integrals. This article considers multiple stochastic integrals of non-diagonal integrands, and establishes a Fubini theorem in this setup.

MSC:

60H05 Stochastic integrals
26A39 Denjoy and Perron integrals, other special integrals
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