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Mar 29, 2017 at 3:59 comment added JGWang @Tom, thank you for your replication. I add the proof of (3).
Mar 29, 2017 at 3:57 history edited JGWang CC BY-SA 3.0
add the proof of (3) and the final expression of $m(t)$.
Mar 28, 2017 at 11:30 comment added Tom I have posted a new question here: mathoverflow.net/questions/265752/…
Mar 28, 2017 at 10:39 comment added Tom Can you briefly explain equation (3)? I am not quite familiar with how to find $E(\int_{0}^{t} B(s) dW(s))$ and $E(\int_{0}^{t} B(s) dW(s))^2$ when $d\langle B, W \rangle_t = \gamma dt$. Does ito isometry still applies?
Mar 28, 2017 at 10:34 vote accept Tom
Mar 28, 2017 at 8:53 history answered JGWang CC BY-SA 3.0