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Selected Works of Emmanuel Cabral
Article
On Integration-by-parts and the Itô Formula for Backwards Itô Integral
Mathematics Faculty Publications
  • Emmanuel A Cabral, Ateneo de Manila University
  • Jayrold Arcede
Link
Document Type
Article
Publication Date
1-1-2011
Disciplines
Abstract

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.

Citation Information
Arcede, Jayrold & Cabral, Emmanuel. (2011). On Integration-by-parts and the Itô Formula for Backwards Itô Integral. The Mindanawan Journal of Mathematics. 3. 112-131.