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 |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13660-017-1358-3 |
| _version_ | 1818350416054714368 |
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| author | Yanqing Wang |
| author_facet | Yanqing Wang |
| author_sort | Yanqing Wang |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-13T18:21:30Z |
| format | Article |
| id | doaj.art-40e4c5e86736407596cd7cb650617601 |
| institution | Directory Open Access Journal |
| issn | 1029-242X |
| language | English |
| last_indexed | 2024-12-13T18:21:30Z |
| publishDate | 2017-04-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Journal of Inequalities and Applications |
| spelling | doaj.art-40e4c5e86736407596cd7cb6506176012022-12-21T23:35:42ZengSpringerOpenJournal of Inequalities and Applications1029-242X2017-04-012017111310.1186/s13660-017-1358-3A stochastic Fubini theorem: BSDE methodYanqing Wang0School of Mathematics and Statistics, Southwest UniversityAbstract 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.http://link.springer.com/article/10.1186/s13660-017-1358-3stochastic Fubini theorembackward stochastic differential equationrandom jumps |
| spellingShingle | Yanqing Wang A stochastic Fubini theorem: BSDE method Journal of Inequalities and Applications stochastic Fubini theorem backward stochastic differential equation random jumps |
| title | A stochastic Fubini theorem: BSDE method |
| title_full | A stochastic Fubini theorem: BSDE method |
| title_fullStr | A stochastic Fubini theorem: BSDE method |
| title_full_unstemmed | A stochastic Fubini theorem: BSDE method |
| title_short | A stochastic Fubini theorem: BSDE method |
| title_sort | stochastic fubini theorem bsde method |
| topic | stochastic Fubini theorem backward stochastic differential equation random jumps |
| url | http://link.springer.com/article/10.1186/s13660-017-1358-3 |
| work_keys_str_mv | AT yanqingwang astochasticfubinitheorembsdemethod AT yanqingwang stochasticfubinitheorembsdemethod |