- #1
operationsres
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Suppose that [itex]\sigma(t,T)[/itex] is a deterministic process, where [itex]t[/itex] varies and [itex]T[/itex] is a constant. We also have that [itex]t \in [0,T][/itex]. Also [itex]W(t)[/itex] is a Wiener process.
My First Question
What is [itex]\displaystyle \ \ d\int_0^t \sigma(u,T)dW(u)[/itex]? My lecture slides assert that it's equal to [itex]\sigma(t,T)dW(t)[/itex] but I'm not sure why. So my question is "Why"?
My Second Question
What is [itex]\displaystyle \ \ d\int_a^t \sigma(u,T)dW(u)[/itex], where [itex]a \in (0,t)[/itex].
_________________________________
Thanks!
My First Question
What is [itex]\displaystyle \ \ d\int_0^t \sigma(u,T)dW(u)[/itex]? My lecture slides assert that it's equal to [itex]\sigma(t,T)dW(t)[/itex] but I'm not sure why. So my question is "Why"?
My Second Question
What is [itex]\displaystyle \ \ d\int_a^t \sigma(u,T)dW(u)[/itex], where [itex]a \in (0,t)[/itex].
_________________________________
Thanks!