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zas311
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Posts: 11
Joined: January 28th, 2008, 12:48 pm

Variance of a stochastic integral?

July 6th, 2008, 5:07 pm

Hi, I'm trying to find the variance of the process that can be written as follows:(W(t) - standard brownian motion).It's a stochastic integral, hence a martingale, so the mean is zero.Any thoughts on finding the variance would be appreciated
Last edited by zas311 on July 5th, 2008, 10:00 pm, edited 1 time in total.
 
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Zedr0n
Posts: 244
Joined: April 6th, 2007, 5:07 am

Variance of a stochastic integral?

July 7th, 2008, 12:57 pm

Use Ito isometry
 
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zas311
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Posts: 11
Joined: January 28th, 2008, 12:48 pm

Variance of a stochastic integral?

July 8th, 2008, 10:37 pm

QuoteOriginally posted by: Zedr0nUse Ito isometryOk, so I guess this translates intoHow does that help?
 
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Zedr0n
Posts: 244
Joined: April 6th, 2007, 5:07 am

Variance of a stochastic integral?

July 9th, 2008, 1:59 pm

On the left you have variance and on the right you have a constant, so the right part is your answer, unless I'm missing something
 
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croot
Posts: 104
Joined: July 23rd, 2006, 8:30 pm

Variance of a stochastic integral?

July 11th, 2008, 11:44 pm

t's a stochastic integral, hence a martingale, so the mean is zero.niceeee...
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