Question: Problem 4 (20p) (a) (10p) Let (0, F, P) be a probability space and let {Wt : t 2 0} be a standard Wiener process.

Problem 4 (20p) (a) (10p) Let (0, F, P) be a probability space and let {Wt : t 2 0} be a standard Wiener process. The following stochastic Ito integral with respect to a standard Wiener process can be defined as It = / f(Ws, s)dWs = lim f(Wt., ti ) ( Wtiti - Wti) i=0 where f is a simple process, and ti = it, 0 = to

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