On integration-by-parts and the Itô formula for backwards Itô integral

Authors

  • Jayrold Arcede Caraga State University, Ampayon, Butuan City, Philippines
  • Emmanuel Cabral Ateneo de Manila University, Quezon City, Philippines

Abstract

In this paper, we derive integration-by-parts formula 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.

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Published

2012-10-01

How to Cite

Arcede, J., & Cabral, E. (2012). On integration-by-parts and the Itô formula for backwards Itô integral. The Mindanawan Journal of Mathematics, 3(2), 113–133. Retrieved from https://journals.msuiit.edu.ph/tmjm/article/view/6

Issue

Vol. 3 No. 2

Section

Articles