Article2011

The stochastic Fubini theorem revisited

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Stochastic processes and financial applications Probability and Statistical Research Mathematical and Theoretical Analysis

Abstract

In this paper, we present an elementary and self-contained proof of the stochastic Fubini theorem, which states that one can interchange a Lebesgue integral and a stochastic integral. The integrability conditions we use are weaker and more natural than the usual conditions in the literature. In particular, we do not need integrability in , and we use -integrability instead of -integrability in the additional parameter.

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2007Brownian Motion and Stochastic Calculus 2005Stochastic Integration and Differential Equations 1979Calcul Stochastique et Problèmes de Martingales

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