A stochastic Fubini theorem: BSDE method
Abstract In this paper, we prove a stochastic Fubini theorem by solving a special backward stochastic differential equation (BSDE, for short) which is different from the existing techniques. As an application, we obtain the well-posedness of a class of BSDEs with the Itô integral in drift term under...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2017-04-01
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| Series: | Journal of Inequalities and Applications |
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| Online Access: | http://link.springer.com/article/10.1186/s13660-017-1358-3 |
| Summary: | Abstract In this paper, we prove a stochastic Fubini theorem by solving a special backward stochastic differential equation (BSDE, for short) which is different from the existing techniques. As an application, we obtain the well-posedness of a class of BSDEs with the Itô integral in drift term under a subtle Lipschitz condition. |
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| ISSN: | 1029-242X |