1

This (in particular the 2nd equality) is incorrect. Let $\omega \in \Omega$ denote the sample realization. You state: $$\int_{0}^{T} B_{t} (\omega) d t=T^{1+1/2} \int_{0}^{1} B_{s}(\omega) d s$$ For example assume $T>1$. This is claiming that in order to compute the integral you only need to consider realizations of $B_t$ between $[0,1]$ and then scale ...


Only top voted, non community-wiki answers of a minimum length are eligible