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Stochastic fubini theorm

  1. Jan 25, 2012 #1
    I am really stuck on this and can't find any information or examples on it. My text book has one example in it and it isnt explained at all. It is the following?


    integrated From 0 to t.It is then changed to a double integral and fubinis theorm is applied to arrive at the solution by changing the limits of integration and odrer of integration, with no explanation as to the method.

    This is easy to solve with integration by parts, but i am trying to figure out how to use fubinis theorm and how to change the limits of integration so i can apply the method to some more elaborate integrals.
    I already now the anser and that it is normally distributed, i am inerested in the application of fubinis theorm and not integration by parts.
  2. jcsd
  3. Jan 26, 2012 #2
    Perhaps this might help:

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