A new stochastic Fubini-type theorem. On interchanging expectations and Itō integrals. (English) Zbl 1479.60104
The expectation arises as a function of time of a stochastic process that is given via a stochastic integral; it can be calculated via a Riemann integral of the expectations of the integrand and the integrator stochastic process. This is a significant extension of the Itô integral, which is the main tool of stochastic integration and representation of martingales.
Reviewer: Christos E. Kountzakis (Karlovassi)
MSC:
| 60H05 | Stochastic integrals |
References:
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