On Kurzweil-Henstock's double Itô-Wiener nonstochastic integral
Abstract
Motivated by the study of multiple stochastic integral using the Kurzweil-Henstock approach, in this paper we use this approach to study double Itô-Wiener nonstochastic integral on the square $[0,1]\times[0,1]$. We prove the properties of the integral, including the main convergence theorems. Finally, we prove that the double Itô-Wiener nonstochastic integral can be expressed as an iterated McShane integral.
Fields of Study & Subjects
Mathematical and Theoretical Analysis
Stochastic processes and financial applications
Fuzzy Systems and Optimization
Publication details
- Journal / source
- Mathematica Bohemica
- Pages
- 1–24
- Publication date
- 12 January 2026
- Language
- EN