A new stochastic Fubini-type theorem. On interchanging expectations and Itō integrals (Q2023846): Difference between revisions
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Revision as of 23:17, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new stochastic Fubini-type theorem. On interchanging expectations and Itō integrals |
scientific article |
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A new stochastic Fubini-type theorem. On interchanging expectations and Itō integrals (English)
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3 May 2021
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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.
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stochastic analysis
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Itō integral
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Fubini theorem
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semimartingale
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