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Unformatted text preview: 3. Determine the probability law (including mean and variance) of the stochastic integral Z 2 π sin( t ) dB t . 4. Compute E [ B t B s ] in terms of s,t ≥ 0. 5. Let T > 0. Show that if f is a diﬀerentiable function with f (0) = f ( T ) = 0 we have Z T f ( t ) dB t =-Z T f ( t ) B t dt. Hint: Apply Itˆo’s calculus to t 7→ f ( t ) B t ....
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This note was uploaded on 11/02/2009 for the course MATH 151 taught by Professor Pyke during the Spring '08 term at Simon Fraser.
- Spring '08