On the Kurzweil-Henstock integral in probability
Sorin G. Gal
TL;DR
This paper extends the Riemann integral in probability to the Kurzweil-Henstock integral in probability, establishing its properties and broadening the scope of integration methods in probabilistic analysis.
Contribution
It introduces the Kurzweil-Henstock integral in probability and proves its fundamental properties, generalizing existing integral concepts in probability theory.
Findings
The Kurzweil-Henstock integral in probability is well-defined.
Key properties of the new integral are established.
The generalization broadens integration techniques in probabilistic contexts.
Abstract
By using the method in [5], the aim of the present note is to generalize the Riemann integral in probability introduced in [7], to Kurzweil-Henstock integral in probability. Properties of the new integral are proved.
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Taxonomy
TopicsStatistical Distribution Estimation and Applications · Stochastic processes and financial applications