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Ito Isometry
Posted: November 10th, 2008, 2:57 am
by yqaz
Can Ito Isometry be extended to , where f and g are sqare-integrable?Thanks!
Ito Isometry
Posted: November 10th, 2008, 2:46 pm
by ehremo
yestry applying the usual isometry with f + g and f - g then expand the square subtract one from the other
Ito Isometry
Posted: November 10th, 2008, 3:06 pm
by Alan
Or, apply the product rule d (X(t) Y(t)) where X(t) is the first integral, Y(t) is the second -- then integrate and take expectations.Works for all 'Ito processes'.
Ito Isometry
Posted: November 11th, 2008, 2:52 pm
by yqaz
Thank you, guys!
Ito Isometry
Posted: November 11th, 2008, 2:52 pm
by yqaz
Thank you, guys!