Show that for any nonrandom, continuously differentiable function f(t), the following formula of integration by parts is true: f* ƒ(s) dW(s) = f(t)W(t) – f* ƒ'(s)W(s) ds. 0

Advanced Engineering Mathematics
10th Edition
ISBN:9780470458365
Author:Erwin Kreyszig
Publisher:Erwin Kreyszig
Chapter2: Second-order Linear Odes
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Show that for any nonrandom, continuously differentiable function f(t),
the following formula of integration by parts is true:
•t
f* f(s) dW (s) = f(1)W(1) – ["* S'(s)W(s) ds.
Transcribed Image Text:Show that for any nonrandom, continuously differentiable function f(t), the following formula of integration by parts is true: •t f* f(s) dW (s) = f(1)W(1) – ["* S'(s)W(s) ds.
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