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Tom
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How to Calculate the Expectation and Variance for Stochastic Integral with correlated Brownian Motions
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How to Calculate the Expectation and Variance for Stochastic Integral with correlated Brownian Motions
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Covariance of the product of a stochastic integral and riemann integral
I have posted a new question here: mathoverflow.net/questions/265752/…
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How to Calculate the Expectation and Variance for Stochastic Integral with correlated Brownian Motions
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Covariance of the product of a stochastic integral and riemann integral
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?
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Covariance of the product of a stochastic integral and riemann integral
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Covariance of the product of a stochastic integral and riemann integral
The filtration $\mathcal{F}_{t}:=\sigma (B(t),W(t):t\geq 0)$
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Covariance of the product of a stochastic integral and riemann integral