Let (T>0). Show that for (f:[0, T] mapsto mathbb{R}) a differentiable function such that (f(T)=0), we have
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Let \(T>0\). Show that for \(f:[0, T] \mapsto \mathbb{R}\) a differentiable function such that \(f(T)=0\), we have
\[\int_{0}^{T} f(t) d B_{t}=-\int_{0}^{T} f^{\prime}(t) B_{t} d t\]
Apply Itô's calculus to \(t \mapsto f(t) B_{t}\).
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Related Book For
Introduction To Stochastic Finance With Market Examples
ISBN: 9781032288277
2nd Edition
Authors: Nicolas Privault
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