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Results tagged with wienerprocess
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user 6661
3
votes
1
answer
392
views
Wiener process integral
Suppose that $W_{t}$ is a Wiener process.
Assume $W_{0}=0.$ Is it
true that $\int_{t=0}^{T}dW_{t}=W_{T}$? If so, why?
Is one preferred to the other?
- 840
5
votes
1
answer
194
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Stochastic Differential
Let $W_t$ be a Wiener process. It is clear to me that $dW_t$ is of size $\sqrt{dt}$. This can be seen because
$$
\mathrm{Var}(W_{t+\Delta} - W_{t})=\Delta.
$$
But am I allowed to actually write $(d …
- 840