Y1

Let (Wt)t20 be a Brownian motion. Find the following stochastic integrals and their distribution. (i) So 2 dWt. (ii) So (21 [0,7/2] + 51(T/2,1] ) dWt. (iii) So sin(t) dWt. (iv) Give your own example. Set a function f(t) in L2([0, T]) (not a simple step function) and a value for T. Find ff(t) dWt and its distribution