Monday, January 7, 2019

Ito's Lemma - Integrand depends on upper limit of integration


A problem I came across while practicing using Ito's Lemma had a process with an integral whose integrand depends on the upper limit of integration (the goal is to find dZt):


Zt=t0ets2sin(Bs)dBs, where B is a standard Brownian motion


In what way do I need to take this into account in my solving the problem, if at all?




No comments:

Post a Comment

technique - How credible is wikipedia?

I understand that this question relates more to wikipedia than it does writing but... If I was going to use wikipedia for a source for a res...