请教大师兄，二师兄一些关于ito integrals 的问题！

如何从这一步跳到下一步？

Chemist_MZ 发表于 2013-8-5 19:14
I think it is quite straightforward:

the first integral is:

in fact，t is fixed here，S(t) = t * Z(t), just use Ito formula

好难啊                  

这个章节有点坑爹，要考试了。。。

悬赏！

I think it is quite straightforward:

the first integral is:

t(Z(t+h)-Z(t) as h->0 it is by definition tdZ(t)

the second one is

hZ(t+h), as h->0 it is by definition Z(t)dt

if you don't trust me on the second integral, you can use definition: something like ΔsΣΔZ， and try to use the property of summation and the definition of integral as you have learned in the calculus class.

best,

xuruilong100 发表于 2013-8-5 21:03
in fact，t is fixed here，S(t) = t * Z(t), just use Ito formula

aha，yes, cool

Chemist_MZ 发表于 2013-8-5 21:25
aha，yes, cool

Is it a typo?
instead, S(t) = \int_0^t s dZs?

shelf317 发表于 2013-8-5 21:39
Is it a typo?
instead, S(t) = \int_0^t s dZs?

no it's not.

if it is "s" inside, you can not write t+h for S(t+h)