Henstock's multiple Wiener integral and Henstock's version of Hu-Meyer theorem
Although it has been argued that the classical Riemann approach cannot be used to study stochastic integrals, it has been proved that the generalized Riemann approach (using nonuniform meshes) has been successful in defining stochastic integrals and even multiple Wiener integral in n-dimensional Euclidean space R-n. The multiple Wiener integral considers only the nondiagonal part of R-n. In this paper, we shall use generalized Riemann approach to study multiple Wiener integral on Rn, including both the diagonal and the nondiagonal part, and derive the classical Hu-Meyer Theorem. (c) 2005 Elsevier Ltd. All rights reserved.
multiple wiener integral hu-meyer theorem henstock integral