A Fubini type theorem for rough integration

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 Lipschitz condition.

Symmetric Stable Processes and Fubini ' s Theorem

In the first half of this paper, a Fubini type identity in law which was previously developed by two of the authors between quadratic functionals of Brownian motion is extended in two directions: an analogue of this identity in law holds when Brownian motion is replaced by a symmetric stable process of any order a E (0,2), provided the function: x -* x2 is replaced by: x -> I x la; such Fubini ...

On Independence for Non-Additive Measures, with a Fubini Theorem

An important technical question arising in economic and financial applications of decision models with non-additive beliefs is how to define stochastic independence. In fact the straightforward generalization of independence does not in general yield a unique product. I discuss the problem of independence, with specific focus on the validity of the Fubini theorem. The latter holds in general on...

A one-sided Fubini theorem for Gowurin measures

Products of non additive measures: A Fubini theorem

The concept of qualitative di¤erences in information, i.e. the distinction between risk and ambiguity, builds the framework of a growing strand of economic research. For non additive set functions as used in the Choquet Expected Utility framework, the independent product in general is not unique and the Fubini theorem is restricted to slice-comonotonic functions. In this paper, we use the repre...