Appears in collection : Advances in stochastic analysis for risk modeling / Analyse stochastique pour la modélisation des risques

We prove a new stochastic Fubini theorem in a setting where we stochastically integrate a mixture of parametrised integrands, with the mixture taken with respect to a stochastic kernel instead of a fixed measure on the parameter space. To that end, we introduce a notion of measure-valued stochastic integration with respect to a multidimensional semimartingale. As an application, we show how one can handle a class of quite general stochastic Volterra semimartingales. The talk is based on joint work with Tahir Choulli (University of Alberta, Edmonton).