The stochastic Fubini theorem revisited

Abstract

Abstract. In this note we present an elementary and self-contained proof of the stochastic Fubini theorem, which states that one can interchange a Lebesgue integral and a stochastic integral. The integrability conditions we use are weaker and more natural than the usual conditions in the literature. In particular, we do not need integrability in Ω, and we use L1-integrability instead of L2-integrability in the additional parameter. 1.