Help on calculating an integral

Lucetios · May 8th, 2006, 12:59 pm

Hi,I was wondering if some one can help me with evaluating the following integral (sorry, our firm doesn't allow using the equation editor)\int_{t_0}^T{\int_{t_0}^t{w_uw_s dsdu}}where the two w's are correlated.Thanks

qxiaking · May 9th, 2006, 2:08 pm

Lucetios,It seems to me that we could find the expection of the integral. To make it simpler, if you take t_0=0, and t=T, you may find E(\int_0^T \int_0^T {w_u w_s} dsdu) = T^3/3.Hope this helps.

Lucetios · May 9th, 2006, 2:36 pm

Thanks qxiaking,I have made a BIG mistake typing the integral. it is actually,\int_{t_0}^T{\int_{t_0}^t{dw_u dw_s }}I hope you forgive me and give it another try.ThanksL.