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Advanced Engineering Mathematics
10th Edition
ISBN:9780470458365
Author:Erwin Kreyszig
Publisher:Erwin Kreyszig
Chapter2: Second-order Linear Odes
Section: Chapter Questions
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Consider the problem of evaluating
T
Ws dW s.
(a) Verify that this is square-integrable.
(b) Itō evaluates the integral by dividing [0, T] into n equal intervals
and making the approximation
T
n-1
W, dWs
lim W:(Wi+1 – W;).
%3D
n00
i=0
Given that
1
능(a2-)-(a-6)2 = ab- P
%3D
show that
1
W, dW, =W;-
- -7
2
Transcribed Image Text:Consider the problem of evaluating T Ws dW s. (a) Verify that this is square-integrable. (b) Itō evaluates the integral by dividing [0, T] into n equal intervals and making the approximation T n-1 W, dWs lim W:(Wi+1 – W;). %3D n00 i=0 Given that 1 능(a2-)-(a-6)2 = ab- P %3D show that 1 W, dW, =W;- - -7 2
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