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A Question about Stochastic Integral

  1. May 7, 2010 #1
    1. The problem statement, all variables and given/known data

    How to prove that the Ito Integral int_0^t e^s dB_s is normally-distributed, for a given t?

    2. Relevant equations

    3. The attempt at a solution

    This Ito Integral could be defined as a R-S Integral, and the Riemann Sum should be a linear function of normal r.v.s, thus the Riemann Sum is normal. However I don't know how to prove that the limit of a sequence of normal random variable is normal... Or is there another way to prove it?

  2. jcsd
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