MHB Help solving/proofing an Integral Equation

AI Thread Summary
The discussion centers on proving the equality of both sides of a specific integral equation involving the function f(t, x) = x^4 - 6tx^2 + 3t^2. The application of Ito's lemma is utilized to derive the differential form, leading to the conclusion that d(X_t^4 - 6tX_t^2 + 3t^2) equals (4X_t^3 - 12tX_t) dX_t. The participants express gratitude for the assistance and indicate a willingness to further explore the solution provided. This exchange highlights the collaborative effort to understand complex integral equations in stochastic calculus.
cdbsmith
Messages
6
Reaction score
0
Need help showing that both sides of the following integral are equal. Any help would be greatly appreciated.
 

Attachments

  • Q2 - Integral Proof.png
    Q2 - Integral Proof.png
    2.3 KB · Views: 90
Physics news on Phys.org
cdbsmith said:
Need help showing that both sides of the following integral are equal. Any help would be greatly appreciated.

Since the integral equation is given (and assuming $X_0 = 0$), it suffices to show

$\displaystyle d(X_t^4 - 6tX_t^2 + 3t^2) = (4X_t^3 - 12tX_t)\, dX_t$.

To do this, set $f(t, x) = x^4 - 6tx^2 + 3t^2$ and apply Ito's lemma to get

$\displaystyle df(t, X_t) = \left(f_t + \frac{f_{xx}}{2}\right) dt + f_x \, dX_t$,

$\displaystyle df(t, X_t) = \left(-6X_t^2 + 6t + \frac{12X_t^2 - 12t}{2}\right) dt + (4X_t^3 - 12tX_t)\, dX_t$,

$\displaystyle df(t, X_t) = (-6X_t^2 + 6t + 6X_t^2 - 6t)\, dt + (4X_t^3 - 12tX_t)\, dX_t$,

$\displaystyle df(t, X_t) = 0\, dt + (4X_t^3 - 12tX_t)\, dX_t$,

$\displaystyle d(X_t^4 - 6tX_t^2 + 3t^2) = (4X_t^3 - 12tX_t)\, dX_t$.
 
Euge said:
Since the integral equation is given (and assuming $X_0 = 0$), it suffices to show

$\displaystyle d(X_t^4 - 6tX_t^2 + 3t^2) = (4X_t^3 - 12tX_t)\, dX_t$.

To do this, set $f(t, x) = x^4 - 6tx^2 + 3t^2$ and apply Ito's lemma to get

$\displaystyle df(t, X_t) = \left(f_t + \frac{f_{xx}}{2}\right) dt + f_x \, dX_t$,

$\displaystyle df(t, X_t) = \left(-6X_t^2 + 6t + \frac{12X_t^2 - 12t}{2}\right) dt + (4X_t^3 - 12tX_t)\, dX_t$,

$\displaystyle df(t, X_t) = (-6X_t^2 + 6t + 6X_t^2 - 6t)\, dt + (4X_t^3 - 12tX_t)\, dX_t$,

$\displaystyle df(t, X_t) = 0\, dt + (4X_t^3 - 12tX_t)\, dX_t$,

$\displaystyle d(X_t^4 - 6tX_t^2 + 3t^2) = (4X_t^3 - 12tX_t)\, dX_t$.

Thanks, Euge!

I'm going to study your solution and try to understand it. I will let you know if I get stuck on something.

Thanks again!
 
Back
Top