Article
Fundamental Theorem of Calculus for the Backwards Ito Integral
Mathematics Faculty Publications
Document Type
Article
Publication Date
1-1-2011
Disciplines
Abstract
In this paper, a definition of backwards stochastic differentiation is introduced. A necessary and sufficient set of conditions for backwards Ito integration and differentiation to be reversible processes is given. Backwards Ito integration is defined using the generalized Riemann approach.
Citation Information
J.P. Arcede, E.A. Cabral. Fundamental Theorem of Calculus for the Backwards Ito Integral. Matimyas Matematika (Journal of the Mathematical Society of the Philippines), 34 (1), 1-9 (2011).