Hallo!

I've problems to compute the conditional variance of a Brownian Integral.

I've written my problem in an extra file in the attachment.

I appreciate any help.

Thanks in advance!

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- Apr 24th 2011, 09:53 AMJujuconditional variance of stochastic integral
Hallo!

I've problems to compute the conditional variance of a Brownian Integral.

I've written my problem in an extra file in the attachment.

I appreciate any help.

Thanks in advance! - Apr 24th 2011, 11:18 AMJuju
By using Itô's formula I think I can show that

$\displaystyle var(\int\limits_0^Tf(u)dB_u|\mathcal{F}_t)=\int\li mits_t^Tf^2(u)du.$

Does anyone agree?