Relations between multiple ito and stratonovich integrals
- 1 January 1991
- journal article
- research article
- Published by Taylor & Francis in Stochastic Analysis and Applications
- Vol. 9 (3) , 311-321
- https://doi.org/10.1080/07362999108809243
Abstract
In this paper we investigate relations within and between sets of multiple Ito and Stratonovich integrals which are useful in the application of stochastic Taylor expansions of Ito processes. We obtain formulae expressing multiple Ito integrals in terms of multiple Stratonovich integrals and vice versa and also formulae relating multiple stochastic integrals of the same typeKeywords
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