3.2 Problems and Solutions
3.2.1 Itō Calculus
- 1. Itō Integral. Let be a probability space and let be a standard Wiener process. Let the Itō integral of be defined as the following limit
where , for .
Show that the quadratic variation of is
Finally, show that the Itō integral is a martingale.
For the first part of the solution, see Problem 126.96.36.199 (page 89).
Given and ...