- #1
saminator910
- 95
- 2
How would you take the Ito integral of an arbitrary f(W_T) where W_T is a standard Wiener process
X_T=\int^t_0 f(W_s)dW_s
would you somehow use Ito's lemma? I have attempted, but it doesn't seem to make sense...
dX_T=f(W_T)dW_T, There doesn't seem to be a f(x) that makes sense for this in Ito's lemma.
df = \frac{\partial f}{\partial x}dX_T + \frac{\partial^2 f}{\partial x^2}dX_T^2
X_T=\int^t_0 f(W_s)dW_s
would you somehow use Ito's lemma? I have attempted, but it doesn't seem to make sense...
dX_T=f(W_T)dW_T, There doesn't seem to be a f(x) that makes sense for this in Ito's lemma.
df = \frac{\partial f}{\partial x}dX_T + \frac{\partial^2 f}{\partial x^2}dX_T^2
