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
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author Wang, Yanqing
author_facet Wang, Yanqing
author_sort Wang, Yanqing
collection PubMed
description 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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spelling pubmed-53922032017-05-01 A stochastic Fubini theorem: BSDE method Wang, Yanqing J Inequal Appl Research 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. Springer International Publishing 2017-04-14 2017 /pmc/articles/PMC5392203/ /pubmed/28469354 http://dx.doi.org/10.1186/s13660-017-1358-3 Text en © The Author(s) 2017 Open Access This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
spellingShingle Research
Wang, Yanqing
A stochastic Fubini theorem: BSDE method
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 Research
url 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
work_keys_str_mv AT wangyanqing astochasticfubinitheorembsdemethod
AT wangyanqing stochasticfubinitheorembsdemethod

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