Re: a basic question about stochastic integration - Science版

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Science版 - Re: a basic question about stochastic integration

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H****h
发帖数: 1037

\int_0^t X_s ds=\int_0^t \int_0^s dBr ds
=\int_0^t \int_r^t ds dBr
=\int_0^t (t-r)dBr
The integration is a Gaussion distribution
of mean 0 and variance \int_0^t (t-r)^2 dr
=t^3/3.

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