Prove that, if (W) is a Brownian motion, from the definition of the stochastic integral as an

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Prove that, if $W$ is a Brownian motion, from the definition of the stochastic integral as an $L^{2}$ limit, $\int_{0}^{t} W_{s} d W_{s}=\frac{1}{2}\left(W_{t}^{2}-t\right)$.

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Mathematical Methods For Financial Markets

ISBN: 9781447125242

1st Edition

Authors: Monique Jeanblanc, Marc Yor, Marc Chesney

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Question Posted: Apr 02, 2024 06:00 AM

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Prove that, if (W) is a Brownian motion, from the definition of the stochastic integral as an

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Mathematical Methods For Financial Markets

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