Find the Wiener-It chaos decomposition for the following random variables ( (T>0) is fixed): a) (exp left(B_{T}-T

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Find the Wiener-Itô chaos decomposition for the following random variables ( $T>0$ is fixed):

a) $\exp \left(B_{T}-T / 2ight)$,

b) $B_{T}^{5}$,

c) $\int_{0}^{1}\left(r^{3} B_{t}^{3}+2 t B_{t}^{2}ight) d B_{t}$,

d) $\int_{0}^{1} t e^{B_{t}} d B_{t}$.

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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

ISBN: 9783110741254

3rd Edition

Authors: René L. Schilling, Björn Böttcher

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Question Posted: Mar 17, 2024 01:00 AM

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Find the Wiener-It chaos decomposition for the following random variables ( (T>0) is fixed): a) (exp left(B_{T}-T

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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

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