Prove that t2 t1 W(s)n dW(s) 1 n 1 W(t2) n1 W(t1) n1 n 2 t2 t1 W(s)n1 ds Hint Calculate d(Wn1) using the Itos lemma ...

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Prove that t2 t1 W(s)n dW(s) 1 n 1 [W(t2) n1 W(t1) n1 ]

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Prove that

t2 t1 W(s)n dW(s) ¼ 1 n þ 1

[W(t2)

nþ1 W(t1)

nþ1

] n 2

t2 t1 W(s)n1 ds Hint: Calculate d(Wnþ1) using the Ito’s lemma.

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Quantitative Finance For Physicists An Introduction

ISBN: 9780120884643

1st Edition

Authors: Anatoly B. Schmidt

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Question Posted: Oct 26, 2024 03:00 AM

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Prove that t2 t1 W(s)n dW(s) 1 n 1 [W(t2) n1 W(t1) n1 ] n 2 t2 t1 W(s)n1 ds Hint: Calculate d(Wn1) using the Itos lemma.
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Prove that t2 t1 W(s)n dW(s) 1 n 1 [W(t2) n1 W(t1) n1 ]

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Quantitative Finance For Physicists An Introduction

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