How should I evaluate this ito integal?
0
$begingroup$
Let $B(s)$ be a brownian motion.
How should I calculate $int_0^tB(s)e^{B(s)}dB(s)$?
I tried performing ito's lemma on $B(s)e^{B(s)}$, but didnt get anything from it.
stochastic-processes stochastic-calculus
asked Dec 14 '18 at 2:17
user1559897user1559897
726515
$endgroup$
add a comment |
0
$begingroup$
Let $B(s)$ be a brownian motion.
How should I calculate $int_0^tB(s)e^{B(s)}dB(s)$?
I tried performing ito's lemma on $B(s)e^{B(s)}$, but didnt get anything from it.
stochastic-processes stochastic-calculus
asked Dec 14 '18 at 2:17
user1559897user1559897
726515
$endgroup$
1
$begingroup$
you should provide more context, like, is this the actual homework question or is this just some random integral you came up with
$endgroup$
– Makina
Dec 14 '18 at 2:29
$begingroup$
Moreover, you will need to explain what you mean by "calculate a stochastic integral".
$endgroup$
– saz
Dec 14 '18 at 8:09
add a comment |
0
0
0
$begingroup$
Let $B(s)$ be a brownian motion.
How should I calculate $int_0^tB(s)e^{B(s)}dB(s)$?
I tried performing ito's lemma on $B(s)e^{B(s)}$, but didnt get anything from it.
stochastic-processes stochastic-calculus
asked Dec 14 '18 at 2:17
user1559897user1559897
726515
$endgroup$
Let $B(s)$ be a brownian motion.
How should I calculate $int_0^tB(s)e^{B(s)}dB(s)$?
I tried performing ito's lemma on $B(s)e^{B(s)}$, but didnt get anything from it.
stochastic-processes stochastic-calculus
stochastic-processes stochastic-calculus
asked Dec 14 '18 at 2:17
user1559897user1559897
726515
asked Dec 14 '18 at 2:17
user1559897user1559897
726515
asked Dec 14 '18 at 2:17
user1559897user1559897
726515
asked Dec 14 '18 at 2:17
user1559897user1559897
726515
asked Dec 14 '18 at 2:17
user1559897user1559897
726515
726515
1
$begingroup$
you should provide more context, like, is this the actual homework question or is this just some random integral you came up with
$endgroup$
– Makina
Dec 14 '18 at 2:29
$begingroup$
Moreover, you will need to explain what you mean by "calculate a stochastic integral".
$endgroup$
– saz
Dec 14 '18 at 8:09
add a comment |
1
$begingroup$
you should provide more context, like, is this the actual homework question or is this just some random integral you came up with
$endgroup$
– Makina
Dec 14 '18 at 2:29
$begingroup$
Moreover, you will need to explain what you mean by "calculate a stochastic integral".
$endgroup$
– saz
Dec 14 '18 at 8:09
1
1
$begingroup$
you should provide more context, like, is this the actual homework question or is this just some random integral you came up with
$endgroup$
– Makina
Dec 14 '18 at 2:29
$begingroup$
you should provide more context, like, is this the actual homework question or is this just some random integral you came up with
$endgroup$
– Makina
Dec 14 '18 at 2:29
$begingroup$
Moreover, you will need to explain what you mean by "calculate a stochastic integral".
$endgroup$
– saz
Dec 14 '18 at 8:09
$begingroup$
Moreover, you will need to explain what you mean by "calculate a stochastic integral".
$endgroup$
– saz
Dec 14 '18 at 8:09
add a comment |
0
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1
$begingroup$
you should provide more context, like, is this the actual homework question or is this just some random integral you came up with
$endgroup$
– Makina
Dec 14 '18 at 2:29
$begingroup$
Moreover, you will need to explain what you mean by "calculate a stochastic integral".
$endgroup$
– saz
Dec 14 '18 at 8:09