A stochastic Fubini theorem: BSDE method
نویسنده
چکیده
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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عنوان ژورنال:
دوره 2017 شماره
صفحات -
تاریخ انتشار 2017