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Homework Help
Calculus and Beyond Homework Help
Showing the Difference Between an Ito Integral & Riemann Integrals.
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[QUOTE="mathfied, post: 2482263, member: 134885"] Hi Everyone, A problem I have here. I am trying to solve a problem involving Ito Integrals and Riemann interals. [h2]Homework Statement [/h2] Prove [tex]\int^{T}_{0} tdW(t) = TW(T) -\int^{T}_{0} W(t)dt [/tex][h2]Homework Equations[/h2] I want to solve this question [B]WITHOUT[/B] using Ito's Lemma directly.[h2]The Attempt at a Solution[/h2] OK I know that in general, the Ito integral and the Riemann integral are going to be slightly different. The Ito Integral will have an extra term. So in my question, I know if I was to generally just integrate the Riemann integral, I would get: [tex]\int^{T}_{0} tdW(t) = TW(T) [/tex] But I know the Ito integral adds the extra: [tex] -\int^{T}_{0} W(t)dt [/tex] But how does this arise? Is it possible to show how using [B]the mean square error[/B] ? I keep reading the mean square error when reading about this but don't really see the connection. Maybe someone could kindly help out please? Thanks [/QUOTE]
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Calculus and Beyond Homework Help
Showing the Difference Between an Ito Integral & Riemann Integrals.
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