On Integration-by-parts and the Itô Formula for Backwards Itô Integral

Authors

Emmanuel A. Cabral, Ateneo de Manila University
Jayrold Arcede

Document Type

Article

Publication Date

2011

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.

Recommended Citation

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.