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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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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer International Publishing
2017
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| 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 |