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Results tagged with stochastic-calculus
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user 4507
Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.
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Expectation of time integral of Wiener process
It is possible to integrate by parts in $\int_0^T B(t) dt$ and obtain
$-B(t) (T-t)|_{t=0}^{t=T} + \int_0^T (T-t) dB(t) \overset{d}{=} \int_0^T (T-t) dB(t)$
The Wiener integral on the right has a nor …
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