Ito lemma. Use the definition above, then use the fact that ti ( W tit ] - Wt. ) = ti ( With - We.) + titi White - titi Whiti; and that n-1 lim Z(Wtiti - Wu)(tit1 - ti) = 0 i= 0 (b) (10p) Prove that Hint: You can use one of two approaches: - Ito lemma. - Similarly as in (a) above, use the definition above and the following facts W? ( W tit - We) = = ( WP, - WP ) - Wt: ( Wtit - Wt. )2 - = ( Wtiti - We.)3. Wt; ( Wtiti - Wt. )2 = Wt (tit1 - ti) + Wtil(With - We.)2 - (tit1 - ti)] lim 1=0 and lim Wil(Wtit - Wt)2 - (tit1 - ti)] = 0. i=0