A new stochastic Fubini-type theorem. On interchanging expectations and Itō integrals (Q2023846)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new stochastic Fubini-type theorem. On interchanging expectations and Itō integrals |
scientific article |
Statements
A new stochastic Fubini-type theorem. On interchanging expectations and Itō integrals (English)
0 references
3 May 2021
0 references
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.
0 references
stochastic analysis
0 references
Itō integral
0 references
Fubini theorem
0 references
semimartingale
0 references
