(Ito's Integrals) Let (2, F, P) be a probability space and let {W: t2 0} be a standard Wiener process. (i) Compute the integral and explain what is the distribution of it [ aw. Hint: Use the definition of Ito's integral. (ii) Compute the integral [w,dw, and show that this is not a martingale.

Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
Publisher:Swokowski
Chapter10: Sequences, Series, And Probability
Section10.8: Probability
Problem 10E
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(Ito's Integrals)
Let (2, F,P) be a probability space and let {W: t 0} be a standard Wiener process.
(i)
Compute the integral and explain what is the distribution of it
[ aw.
Hint: Use the definition of Ito's integral.
(ii)
Compute the integral
w,aw.
and show that this is not a martingale.
Transcribed Image Text:(Ito's Integrals) Let (2, F,P) be a probability space and let {W: t 0} be a standard Wiener process. (i) Compute the integral and explain what is the distribution of it [ aw. Hint: Use the definition of Ito's integral. (ii) Compute the integral w,aw. and show that this is not a martingale.
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