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Let (W(t): 0t T} denote a Brownian motion and {A(t): 0 tT} an adapted stochastic process. Consider the It integral I(T) = A(t)dw (t).
Let (W(t): 0t T} denote a Brownian motion and {A(t): 0 tT} an adapted stochastic process. Consider the It integral I(T) = A(t)dw (t). (i) Give the computational interpretation of I(T). (ii) Show that {I(t): 0 tT} is a martingale.
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Introduction to Real Analysis
Authors: Robert G. Bartle, Donald R. Sherbert
4th edition
471433314, 978-1118135853, 1118135857, 978-1118135860, 1118135865, 978-0471433316
