(adsbygoogle = window.adsbygoogle || []).push({}); 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?

Thanks!!

**Physics Forums | Science Articles, Homework Help, Discussion**

Dismiss Notice

Join Physics Forums Today!

The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

# Homework Help: A Question about Stochastic Integral

Can you offer guidance or do you also need help?

Draft saved
Draft deleted

**Physics Forums | Science Articles, Homework Help, Discussion**