- #1
JohanL
- 158
- 0
For a standard one-dimensional Brownian motion W(t), calculate:
$$E\bigg[\Big(\frac{1}{T}\int\limits_0^TW_t\, dt\Big)^2\bigg]$$I can't figure out how the middle term simplifies.
$$
\mathsf E\left(\int_0^T W_t\mathrm dt\right)^2 = \mathsf E\left[T^2W_T^2\right] - 2T\mathsf E\left[W_T\int_0^T t\mathrm dW_t\right]+\mathsf E\left(\int_0^T t\mathrm dW_t\right)^2
$$
$$
= T^3- 2T\int_0^Tt\mathrm dt+\int_0^Tt^2\mathrm dt
$$
i.e. why is
$$
\mathsf 2T\mathsf E\left[W_T\int_0^T t\mathrm dW_t\right]
= 2T\int_0^Tt\mathrm dt
$$
?
$$E\bigg[\Big(\frac{1}{T}\int\limits_0^TW_t\, dt\Big)^2\bigg]$$I can't figure out how the middle term simplifies.
$$
\mathsf E\left(\int_0^T W_t\mathrm dt\right)^2 = \mathsf E\left[T^2W_T^2\right] - 2T\mathsf E\left[W_T\int_0^T t\mathrm dW_t\right]+\mathsf E\left(\int_0^T t\mathrm dW_t\right)^2
$$
$$
= T^3- 2T\int_0^Tt\mathrm dt+\int_0^Tt^2\mathrm dt
$$
i.e. why is
$$
\mathsf 2T\mathsf E\left[W_T\int_0^T t\mathrm dW_t\right]
= 2T\int_0^Tt\mathrm dt
$$
?