Let be a deterministic process (i.e. independent of ) such that . Then this process obviously belongs to . Show that for each t the integral is a normal random variable with mean 0 and variance
Any help?
Thanks
Let be a deterministic process (i.e. independent of ) such that . Then this process obviously belongs to . Show that for each t the integral is a normal random variable with mean 0 and variance
Any help?
Thanks
Hello,
Use the basic properties of a stochastic integral!
The expectation of a stochastic integral is proved to be 0 (by using the core definition, dealing with sum of brownian increments).
The variance is obtained by Ito's isometry.