Problem bank

Problem 195 of 333MediumStochastic CalculusP195

Variance of the integral of W against dW

  1. Let WW be a standard Brownian motion and IT=∫0TWt dWtI_T = \int_0^T W_t\,dW_t (an Itô integral). Find E[IT]E[I_T] and Var(IT)\mathrm{Var}(I_T). Do it two ways: with the Itô isometry, and with the closed form for ITI_T.