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Results tagged with pr.probability
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user 80430
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
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$\int_0^t f(s)\,dB_s$ normally distributed, mean and variance
Suppose that $f(t)$ is a (non-random) continuous function on $[0, \infty)$. Let$$Z_t = \int_0^t f(s)\,dB_s.$$
How do I see that $Z_t$ is normally distributed?
What is the mean and variance?
I need …
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