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Ito integral of an arbitrary f(Wiener process)

  1. Jun 13, 2013 #1
    How would you take the Ito integral of an arbitrary [itex]f(W_T)[/itex] where [itex]W_T[/itex] is a standard Wiener process

    [itex]X_T=\int^t_0 f(W_s)dW_s[/itex]

    would you somehow use Ito's lemma? I have attempted, but it doesn't seem to make sense...
    [itex]dX_T=f(W_T)dW_T[/itex], There doesn't seem to be a [itex]f(x)[/itex] that makes sense for this in Ito's lemma.

    [itex]df = \frac{\partial f}{\partial x}dX_T + \frac{\partial^2 f}{\partial x^2}dX_T^2[/itex]
  2. jcsd
  3. Jun 18, 2013 #2
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