Definition
The Stratonovich integral can be defined in a manner similar to the Riemann integral, that is as a limit of Riemann sums. Suppose that is a Wiener process and is a semimartingale adapted to the natural filtration of the Wiener process. Then the Stratonovich integral
is defined to be the limit in probability of
as the mesh of the partition of tends to 0 (in the style of a Riemann–Stieltjes integral).
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