A stochastic Fubini theorem: BSDE method

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...

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Detalles Bibliográficos
Autor principal: Wang, Yanqing
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2017
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5392203/
https://www.ncbi.nlm.nih.gov/pubmed/28469354
http://dx.doi.org/10.1186/s13660-017-1358-3
Descripción
Sumario: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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