In Lee (submitted), the GW-integral (the generalized Riemann integral using Wiener measure) is defined. The object of this article is to define stochastic integral in the set up given in Lee (submitted). We also investigate the connection between the stochastic integral defined with the Legesgue counter part, the Paley-Wiener-Zygmund integral in Paley, Weiner and Zygmund (1933). Applications of the stochastic integral will be explained elsewhere.
On Gaussian measures equivalent to Wiener measure
