A new stochastic Fubini-type theorem. On interchanging expectations and Itō integrals (Q2023846): Difference between revisions

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.