Let (left(B_{t}ight)_{t geqslant 0}) be (B M^{1}). Use It's formula to obtain representations of [X_{t}=int_{0}^{t} exp left(B_{s}ight)
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Let \(\left(B_{t}ight)_{t \geqslant 0}\) be \(B M^{1}\). Use Itô's formula to obtain representations of
\[X_{t}=\int_{0}^{t} \exp \left(B_{s}ight) d B_{s} \quad \text { and } \quad Y_{t}=\int_{0}^{t} B_{s} \exp \left(B_{s}^{2}ight) d B_{s}\]
which do not contain Itô integrals.
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Related Book For
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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