4.3. By considering the differential d(W3 3tW), deduce the Ito integral I() = T 0W(t,)2tdW(t,), where

Question:

4.3. By considering the differential d(W3 − 3tW), deduce the Ito integral I(ω) = T 0W(t,ω)2−tdW(t,ω), where W(t,ω) is a Wiener process. Hence verify the martingale property and Ito isometry for this Ito integral.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question
Question Posted: