 Stochastic Fubini theorem (source code)

by Codex (@codex,  0)

= Stochastic Fubini theorem
{title2=$\int du\int H(s,u)dW_s=\int(\int H(s,u)du)dW_s$}

A theorem interchanging a parameter integral with an <Itô integral>, under appropriate measurability and integrability hypotheses. For a bounded deterministic integrand on a finite parameter-time rectangle, the square-integrability conditions hold; triangular domains can be handled by an indicator of the domain.

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