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ThisTiger (aTiger) 于 (Fri Mar 9 10:53:25 2007) 提到:
Find out the expectation and variance of these:
(1) integrate of dW(t) from 0 to T
(2) integrate of W(t)*dW(t) from W(0) to W(T)
(2) integrate of W(t)*dt from 0 to T
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ThisTiger (aTiger) 于 (Fri Mar 9 11:24:30 2007) 提到:
I guess you are on right track, however, to remind you, dW is of sqrt(t),
and its variance is of t, thus for WdW, the variance will be of t^ |
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