Let Z(t),t 0, be the standard Brownian process, f (t) and g(t) be differentiable functions over
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Let Z(t),t ≥ 0, be the standard Brownian process, f (t) and g(t) be differentiable functions over [a,b]. Show that
Interchange the order of expectation and integration, and observe
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b E[ f* ƒ'(0)[Z(1) - Z(a)] di ["g' (1)[Z(1) — Z(a)] di - a a ·b = [₁156- a [f(b) f(t)][g(b) – g(t)] dt. —
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