{"@context":["https://w3id.org/fdo/context/v1",{"schema":"https://schema.org/","prov":"http://www.w3.org/ns/prov#","fdo":"https://w3id.org/fdo/vocabulary/"}],"@id":"https://fdo.portal.mardi4nfdi.de/fdo/Q2777844","@type":"DigitalObject","kernel":{"@id":"https://fdo.portal.mardi4nfdi.de/fdo/Q2777844","digitalObjectType":"https://schema.org/ScholarlyArticle","primaryIdentifier":"mardi:Q2777844","kernelVersion":"v1","immutable":true,"modified":"2025-05-21T15:52:30Z"},"profile":{"@context":"https://schema.org","@type":"ScholarlyArticle","@id":"https://portal.mardi4nfdi.de/entity/Q2777844","name":"The stochastic Fubini theorem for integrals containing random integrand and fractional Brownian motion as integrator","headline":"The stochastic Fubini theorem for integrals containing random integrand and fractional Brownian motion as integrator","description":"scientific article; zbMATH DE number 1718887","url":"https://portal.mardi4nfdi.de/entity/Q2777844","datePublished":"2002-03-13","author":[{"@id":"https://portal.mardi4nfdi.de/entity/Q2740446"},{"@id":"https://portal.mardi4nfdi.de/entity/Q590139"}],"publisher":[{"@id":"https://portal.mardi4nfdi.de/entity/Q5886812"}],"comment":"Let \\((\\Omega,F,(F_t)_{t\\geq 0},P)\\) be a complete probability space with filtration \\((F_t)_{t\\geq 0}\\), let \\((B^H_t,\\displaystyle(F_t)_{t\\geq 0},P)\\) be a normalised fractional Brownian motion (FBM) with Hurst parameter \\(H\\in(1/2,1)\\), and let \\({\\mathcal H}^{\\alpha}_{[a,b]}\\) be the space of Hölder continuous functions with index \\(\\alpha\\) on an interval \\([a,b]\\). If \\(\\Phi(s,u,\\omega): [T_1,T_2]^2\\times\\Omega\\to\\mathbb R\\) is a random measurable function and if there exists a set \\(\\Omega'\\subset\\Omega, P(\\Omega')=1,\\) such that \\(\\Phi(s,u,\\omega)\\) for any \\(\\omega\\in\\Omega'\\) is a piecewise Hölder function on \\(u\\in[T_1,T_2]\\) with index \\(\\alpha_1>1/2\\) with bounded piecewise Hölder norm, and the function \\(\\int_{T_1}^{T_2}\\Phi(s,u,\\omega)dB^H_u\\) is Riemann integrable on \\([T_1,T_2]\\), then the iterated integrals NEWLINE\\[NEWLINE\\int_{T_1}^{T_2}(\\int_{T_1}^{T_2}\\Phi(s,u,\\omega) dB^H_u) ds,\\qquad \\int_{T_1}^{T_2}(\\int_{T_1}^{T_2}\\Phi(s,u,\\omega) ds)dB^H_uNEWLINE\\]NEWLINE exist and coincide a.s."},"provenance":{"prov:generatedAtTime":"2025-05-21T15:52:30Z","prov:wasAttributedTo":"MaRDI Knowledge Graph"}}