Integral of Brownian motion w.r.t. time

Let

$$X_t = \int_0^t W_s \,\mathrm d s$$

where $$W_s$$ is our usual Brownian motion. My questions are the following:

1. Expectation?
2. Variance?
3. Is it a martingale?
4. Is it an Ito process or a Riemann integral?

Any reference for practicing tricky problems like this?

For the expectation, I know it's zero via Fubini. We can put the expectation inside the integral. Now, for the variance and the martingale questions, do we have any tricks? Thanks!

This type of integral has appeared so many times and in so many places; for example, here, here and here. Basically, for each sample $\omega$, we can treat $\int_0^t W_s ds$ as a Riemann integral. Moreover, note that \begin{align*} d(tW_t) = W_t dt + tdW_t. \end{align*} Therefore, \begin{align*} \int_0^t W_s ds &= tW_t -\int_0^t sdW_s \tag{1}\\ &= \int_0^t (t-s)dW_s, \end{align*} which can also be treated as a (parametrized) Ito integral. Then, it is easy to see that \begin{align*} E\left(\int_0^t W_s ds\right) = 0, \end{align*} and that \begin{align*} Var\left(\int_0^t W_s ds\right) &= \int_0^t(t-s)^2 ds\\ &=\frac{1}{3}t^3. \end{align*}

Regarding the martingality, note that, from $(1)$, \begin{align*} \int_0^{t_2} W_s ds -\int_0^{t_1} W_s ds &=t_2W_{t_2}-t_1W_{t_1} + \int_{t_1}^{t_2}sdW_s\\ &=t_2(W_{t_2}-W_{t_1}) + (t_2-t_1) W_{t_1} + \int_{t_1}^{t_2}sdW_s\\ &=(t_2-t_1) W_{t_1} + \int_{t_1}^{t_2}(t_2+s)dW_s, \end{align*} for $t_2>t_1\ge 0$. Therefore, \begin{align*} E\left(\int_0^{t_2} W_s ds\mid \mathscr{F}_{t_1} \right) &= \int_0^{t_1} W_s ds + (t_2-t_1) W_{t_1}. \end{align*} It is not a martingale. Another way to see this is based the equation \begin{align*} d\left(\int_0^t W_s ds\right) = W_t dt, \end{align*} which is not driftless.

EDIT:

One other approach for the martingality can proceed as follows. For $t_2>t_1 >0$, \begin{align*} E\left(\int_0^{t_2} W_s ds \mid \mathscr{F}_{t_1}\right) &= \int_0^{t_1} W_s ds + E\left(\int_{t_1}^{t_2} W_s ds \mid \mathscr{F}_{t_1}\right)\\ &= \int_0^{t_1} W_s ds + \int_{t_1}^{t_2} E\left(W_s \mid \mathscr{F}_{t_1}\right) ds\\ &=\int_0^{t_1} W_s ds + \int_{t_1}^{t_2} E\left(W_s \mid \mathscr{F}_{t_1}\right) ds\\ &=\int_0^{t_1} W_s ds + \int_{t_1}^{t_2} E\left(W_s-W_{t_1}+ W_{t_1}\mid \mathscr{F}_{t_1}\right) ds\\ &= \int_0^{t_1} W_s ds + (t_2-t_1)W_{t_1}. \end{align*}

• Faster and Shorter than my solution +1 – user16651 Aug 5 '16 at 19:17

Set $f(x)=x^3$ and apply Ito's lemma, $$W_{t}^{3}=3\int_{0}^{t}W_s^2dW_s+3\int_{0}^{t}W_sds$$ in other words $$\int_{0}^{t}W_sds=\frac 13 W_t^3-\int_{0}^{t}W_s^2dW_s\tag 0$$ therefore $$\mathbb{E}\left[\int_{0}^{t}W_sds\right]=\frac{1}{3}\mathbb{E}[W_t^3]- \mathbb{E}\left(\int_{0}^{t}W_s^2dW_s\right)=0\tag 1$$ so $$\operatorname{Var}\left(\int_{0}^{t}W_sds\right)=\mathbb{E}\left[\left(\int_{0}^{t}W_sds\right)^2\right]=\mathbb{E}\left[\int_{0}^{t}\int_{0}^{t}W_s\,W_u du\,ds\right]\\ \\ \qquad\quad\qquad\qquad\,\,\,=\int_{0}^{t}\int_{0}^{t}\mathbb{E}[W_sW_u]duds=\int_{0}^{t}\int_{0}^{t}\min\{s,u\}duds\\ \\ \qquad\qquad=\int_{0}^{t}\int_{0}^{s}u\,duds+\int_{0}^{t}\int_{s}^{t}s\,duds=\frac 13 t^3 \tag 2$$ Indeed

$$\color{red}{\int_{0}^{t}W_sds\sim N\left(0\,,\,\frac 13t^3\right)}$$

so, we can say $\int_{0}^{t}W_s ds$ is a normal random time change with time change rate $W_s$. Now set $$X_t=\int_{0}^{t}W_udu=\frac 13 W_t^3-\int_{0}^{t}W_u^2dW_u$$ we have

$$\mathbb{E}\left[X_t\Big{|}\mathcal{F}_s\right]=\frac{1}{3}\mathbb{E}\left[W_t^3\Big{|}\mathcal{F}_s\right]-\mathbb{E}\left[\int_{0}^{t}W_u^2dW_u\Big{|}\mathcal{F}_s\right]\tag 3$$ First we consider $$\mathbb{E}\left[W_t^3\Big{|}\mathcal{F}_s\right]=\mathbb{E}\left[(W_t-W_s)^3+3W_s(W_t-W_s)^2+3W_s^2(W_t-W_s)+W_s^3\Big{|}\mathcal{F}_s\right]$$ Wiener process has Independent increments, then $$\mathbb{E}\left[W_t^3\Big{|}\mathcal{F}_s\right]=3W_s\mathbb{E}\left[(W_t-W_s)^2\right]+W_s^3=3W_s(t-s)+W_s^3\tag 4$$ on the other hand $$\mathbb{E}\left[\int_{0}^{t}W_u^2dW_u\Big{|}\mathcal{F}_s\right]=\mathbb{E}\left[\int_{0}^{s}W_u^2dW_u\Big{|}\mathcal{F}_s\right]+\mathbb{E}\left[\int_{s}^{t}W_u^2dW_u\Big{|}\mathcal{F}_s\right]=\int_{0}^{s}W_u^2dW_u\tag 5$$ $(3)$,$(4)$ and $(5)$ $$\mathbb{E}\left[X_t\Big{|}\mathcal{F}_s\right]=\frac{1}{3}W_s^3+W_s(t-s)-\int_{0}^{s}W_u^2dW_u\tag 6$$ $(6)$ and $(0)$ $$\mathbb{E}\left[\int_{0}^{t}W_udu\Big{|}\mathcal{F}_s\right]=W_s(t-s)+\int_{0}^{s}W_udu\tag 7$$ hence $\int_{0}^{t}W_udu$ is not a martingale.

• Hi, thanks for this, with respect to (4), I don't understand your answer. The question gives 2 options: either we are talking of a deterministic integral (riemann) or a Stochastic one? Thank you :) – Toofreak Aug 5 '16 at 17:25
• No , It is not a Riemman or Ito integral. – user16651 Aug 5 '16 at 18:13
• I think $\int_0^t W_s ds$ is a Riemann integral path-wise. – Gordon Aug 5 '16 at 19:23
• With so respect, I don't think. Please check (Oksendal, Sixth edition,page 147) – user16651 Aug 5 '16 at 19:26
• Except for a sample set with zero probability, for each other sample $\omega$, $W_t(\omega)$ is a continuous function, and then $\int_0^t W_s ds$ can be treated as a Riemann integral. – Gordon Aug 5 '16 at 19:36

Just to add to the already nice answers, the result can also be obtained using the (stochastic) Fubini theorem.

\begin{align} \int_0^t W_s ds &= \int_0^t \int_0^s dW_u\, ds \tag{$W_s=\int_0^s dW_u$}\\ &= \int_0^t \int_u^t ds\,dW_u \tag{Fubini} \\ &= \int_0^t (t-u) dW_u \tag{$\int_u^t ds = t-u$} \end{align}

And we fall back on the same equation $(1)$ as in @Gordon's answer.

• It is good. Is there an another solution? – user16651 Aug 8 '16 at 9:15
• @Behrouz Maleki let's wait and see :) – Quantuple Aug 8 '16 at 9:33
• :D, Good job.I'll wait to see your good answer. – user16651 Aug 8 '16 at 9:36
• @Behrouz Maleki, oh I was not talking about me :) maybe someone wil have another interesting approach – Quantuple Aug 8 '16 at 9:38
• Ok :), no problem.But Your answers are always excellent – user16651 Aug 8 '16 at 9:40