A new stochastic Fubini-type theorem. On interchanging expectations and Itō integrals

DOI10.1007/S13171-019-00195-YzbMath1479.60104OpenAlexW2913458656MaRDI QIDQ2023846

Michael Heinrich Baumann

Publication date: 3 May 2021

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-019-00195-y

zbMATH Keywords

Fubini theoremsemimartingalestochastic analysisItō integral

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Related Items (2)

Beating the market? A mathematical puzzle for market efficiency ⋮ On theoretical foundations of mostly model-free cross-coupled simultaneously long-short stock trading controllers

Cites Work

• Unnamed Item
• Unnamed Item
• Theorems of Fubini Type for Iterated Stochastic Integrals
• The stochastic Fubini theorem revisited
• On Stock Trading Via Feedback Control When Underlying Stock Returns Are Discontinuous
• Option pricing when underlying stock returns are discontinuous
• On Cumulative Sums of Random Variables

This page was built for publication: A new stochastic Fubini-type theorem. On interchanging expectations and Itō integrals