Chen, Jinshu Stochastic integration with respect to fractional Brownian motion defined by non-uniform Riemann. (Chinese. English summary) Zbl 1164.60413 J. Lanzhou Jiaotong Univ., Nat. Sci. 26, No. 6, 127-130 (2007). Summary: The stochastic integral with respect to a fractional Brownian motion is defined by the non-uniform Riemann approach. The link between the integral \(\int^L_0u (s)\,dB^H (s)= (-1)^\alpha\int^L_0D^\alpha_{0+}u_{0+} (s)D^{1-\alpha}_{L-}B^H_{L-} (s)\,ds+u (0+)B^H_L\) and the stochastic integral is established in this paper. MSC: 60J65 Brownian motion 60H05 Stochastic integrals Keywords:fractional Brownian motion; stochastic integral; non-uniform meshes; Henstock’s approach PDFBibTeX XMLCite \textit{J. Chen}, J. Lanzhou Jiaotong Univ., Nat. Sci. 26, No. 6, 127--130 (2007; Zbl 1164.60413)