Understanding Fubini’s theorem in stochastic calculus

fubini-tonelli-theoremsintegrationprobability theoryrandom variablesstochastic-processes

I am confronted with the following dilemma: what are the conditions under which Fubini's theorem is applicable in order to exchange Integrals and Expectations. Let me have a stochastic process $X = \{X_t\}_{t \geq0}$. When I am allowed to write the following equality?
$$\mathbb{E} \left[ \int_0^t f(X_s) ds \right] = \int_0^t\mathbb{E} \left[ f(X_s) \right]ds$$
Is it sufficient that $f: \mathbb{R} \rightarrow \mathbb{R}$ is continuous?

Best Answer

Continuity is clearly not enough. Take:

  • $f (x) = x$;

  • the underlying measure space for the process as $[0,1]$ with the Lebesgue measure;

  • $X_s (\omega) = g(s, \omega)$ for some measurable function $g$.

Then you are asking whether

$$\int_0^1 \int_0^t g(s, \omega) \ \text{d}s \ \text{d} \omega = \int_0^t \int_0^1 g(s, \omega) \ \text{d}\omega \ \text{d} s,$$

which is the usual Fubini theorem for $g$, and thus still needs additional assumptions (positivity or integrability).

The answer is going to be boring; the equality holds if $f$ is nonnegative or integrable (in particular bounded). The later condition reads:

$$\int_0^t \mathbb{E} (|f(X_s)|) \ \text{d} s < +\infty.$$

Related Question