Yang, Haifeng; Toh, Tin Lam On Henstock-Kurzweil method to Stratonovich integral. (English) Zbl 1389.26016 Math. Bohem. 141, No. 2, 129-142 (2016). Summary: We use the general Riemann approach to define the Stratonovich integral with respect to Brownian motion. Our new definition of Stratonovich integral encompass the classical Stratonovich integral and more importantly, satisfies the ideal Itô formula without the “tail” term, that is, \[ f(W_t)=f(W_0)+\int_0^tf'(W_s)\circ\text{d}W_s. \] Further, the condition on the integrands in this paper is weaker than the classical one. Cited in 1 Document MSC: 26A39 Denjoy and Perron integrals, other special integrals 60H05 Stochastic integrals Keywords:Itô formula; Henstock-Kurzweil approach; Stratonovich integral PDF BibTeX XML Cite \textit{H. Yang} and \textit{T. L. Toh}, Math. Bohem. 141, No. 2, 129--142 (2016; Zbl 1389.26016) Full Text: DOI OpenURL