Henstockʹs multiple wiener integral and henstockʹs 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 ℝn. The multiple Wiener integral considers only the nondiagonal part of ℝn. 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.