On Integration-by-parts and the Itô Formula for Backwards Itô Integral
In this paper, we derive integration-by-parts for-mula using the generalized Riemann approach to stochastic calculus called the backwards Itô integral. Moreover, we use integration-by-parts formula to deduce the Itô formula for the backwards Itô integral.
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Published: |
Archīum Ateneo
2011
|
| Subjects: | |
| Online Access: | https://archium.ateneo.edu/mathematics-faculty-pubs/9 https://www.researchgate.net/publication/264011137_On_Integration-by-parts_and_the_Ito_Formula_for_Backwards_Ito_Integral |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Ateneo De Manila University |