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.

Downloads

Published

2012-10-01

Issue

Vol. 3 No. 2

Section

Articles

How to Cite

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