Fundamental Theorem of Calculus for the Backwards Ito Integral

Authors

Jayrold Arcede
Emmanuel A. Cabral, Ateneo de Manila UniversityFollow

Document Type

Article

Publication Date

2011

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.

Recommended Citation

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).