Integration of an Ito Integral

quantmark · November 11th, 2007, 6:41 pm

I understand how to obtain the expectation and variance of an Ito Integral. But I want to know how to get the moments when you integrate an Ito Integral with respect to time ? E.g. What are the mean and variance of the following processes where f(u) is a deterministic function e.g. exp(u) and W is one dimensional Brownian Motion ?

lesliejinyu · November 11th, 2007, 7:26 pm

Have you tried to interchange the order of integration, by Fubini's theorem?