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Results tagged with itos-lemma
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user 25874
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How to show that $E\left[ \int_0^t \sigma(s) e^{iuX(s)} dW(s)\right] = 0$?
Let $\sigma(t)$ be a given deterministic function of time and define the
process $X_t$ by
$$X(t) = \int_0^t \sigma(s)dW(s)$$
I want to show $$E\left[ \int_0^t \sigma(s) e^{iuX(s)} dW(s)\right] = 0$ …
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