The Riemann approach to stochastic integration using non-uniform meshes |
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| Authors: | Tin-Lam Toh |
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| Institution: | Department of Mathematics, National University of Singapore, 2 Science Drive 2, Singapore 117543 |
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| Abstract: | In this note we shall prove that the stochastic integral with respect to a semimartingale can be defined by Riemann's approach. However in this approach we use non-uniform meshes instead of the usual uniform meshes. |
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| Keywords: | Stochastic integrals Henstock's approach Non-uniform meshes |
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