The stochastic Fubini theorem for integrals containing random integrand and fractional Brownian motion as integrator (Q2777844)

Let \((\Omega,F,(F_t)_{t\geq 0},P)\) be a complete probability space with filtration \((F_t)_{t\geq 0}\), let \((B^H_t,\displaystyle(F_t)_{t\geq 0},P)\) be a normalised fractional Brownian motion (FBM) with Hurst parameter \(H\in(1/2,1)\), and let \({\mathcal H}^{\alpha}_{[a,b]}\) be the space of Hölder continuous functions with index \(\alpha\) on an interval \([a,b]\). If \(\Phi(s,u,\omega): [T_1,T_2]^2\times\Omega\to\mathbb R\) is a random measurable function and if there exists a set \(\Omega'\subset\Omega, P(\Omega')=1,\) such that \(\Phi(s,u,\omega)\) for any \(\omega\in\Omega'\) is a piecewise Hölder function on \(u\in[T_1,T_2]\) with index \(\alpha_1>1/2\) with bounded piecewise Hölder norm, and the function \(\int_{T_1}^{T_2}\Phi(s,u,\omega)dB^H_u\) is Riemann integrable on \([T_1,T_2]\), then the iterated integrals NEWLINE\[NEWLINE\int_{T_1}^{T_2}(\int_{T_1}^{T_2}\Phi(s,u,\omega) dB^H_u) ds,\qquad \int_{T_1}^{T_2}(\int_{T_1}^{T_2}\Phi(s,u,\omega) ds)dB^H_uNEWLINE\]NEWLINE exist and coincide a.s.