Theorems of Fubini Type for Iterated Stochastic Integrals

DOI10.2307/1998088zbMath0414.60065OpenAlexW4248889679MaRDI QIDQ3049613

Marc A. Berger, Victor J. Mizel

Publication date: 1979

Full work available at URL: https://doi.org/10.2307/1998088

zbMATH Keywords

Brownian motionstochastic integralstochastic integral equationsstochastic Volterra equationsFubini's theorem for iterated stochastic integrals

Mathematics Subject Classification ID

Stochastic integrals (60H05) Volterra integral equations (45D05) Stochastic integral equations (60H20)

Related Items (3)

Central Limit Theorem for Products of Random Matrices ⋮ A new stochastic Fubini-type theorem. On interchanging expectations and Itō integrals ⋮ The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time

Cites Work

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• Stochastic differentials
• Random integral equations
• Random integral equations with applications to life sciences and engineering
• Multiple Wiener integral
• A Fubini theorem for iterated stochastic integrals
• On a Riemann definition of the stochastic integral, I
• Stochastic integral

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