Let Wt be a Wiener process defined over [0, T] and consider the integral:

Use the subdivision of [0, t]

t₀, t₁,?, t_n?1, t_n

in the following:

(a) Write the approximation of the above integral as three different Riemann sums.

(b) Write the integral in discrete time using an Ito sum.

(c) Calculate the expectation of the three Riemann sums.

(d) Calculate the expectation of the Ito sum.

Transcribed Image Text:

|w;aw.