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
and hence
Finally, show that the Itō integral is a martingale.
Solution
For the first part of the solution, see Problem 2.2.6.1 (page 89).
Given
and ...
With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.
Start Free Trial
No credit card required