1) Show that \begin{equation} cov(\int_0^T(\mu_t+v_t)dB_t,\int_0^T(\mu_t-v_t)dB_t=\int_0^T(\mathbb{E}[\mu_t^2]-\mathbb{E}[v_t^2])dt \end{equation} The proof of this I believe is fairly straightforward. By the Ito isometry inner product rule, \begin{equation} \mathbb{E}[(\int_0^T X_t dB_t)(\int_0^T Y_t dB_t)]=\mathbb{E}[\int_0^T X_t Y_t dt] \end{equation} Thus, \begin{equation} \mathbb{E}[(\int_0^T(\mu_t+v_t)dB_t)(\int_0^T(\mu_t-v_t)dB_t)]=\\ \mathbb{E}[\int_0^T(\mu_t+v_t)(\mu_t-v_t)dt]=\\ \mathbb{E}[\int_0^T(\mu_t^2-v_t^2)dt]=\int_0^T(\mathbb{E}[\mu_t^2]-\mathbb{E}[v_t^2])dt \end{equation} 2) Using this result, calculate \begin{equation} cov(\int_0^T(B_te^t+\sqrt{t})dB_t,\int_0^T(B_te^t-\sqrt{t})dB_t) \end{equation} So, I can easily follow exactly the same steps as above, and get $B_t^2 e^{2t}-t$ for the product of $(B_t e^t+\sqrt{t})(B_t e^t-\sqrt{t})$. However, this part of the problem includes a hint to use the result that $ab=\frac{1}{2}(a+b)^2-\frac{1}{2}a^2-\frac{1}{2}b^2$. Of course, going through all of the math of this leads to the exact same result as what I obtained above by doing an elementary FOIL in my head, but I feel like the hint must mean that the logic that needs to be used here to solve the problem must follow some different path than that. Any guidance would be much appreciated, unless it really is that simple.
2026-04-04 08:31:20.1775291480
Application of Ito Isometry
403 Views Asked by Bumbble Comm https://math.techqa.club/user/bumbble-comm/detail AtRelated Questions in STOCHASTIC-CALCULUS
- Interpreting stationary distribution $P_{\infty}(X,V)$ of a random process
- Reference request for a lemma on the expected value of Hermitian polynomials of Gaussian random variables.
- Why does there exists a random variable $x^n(t,\omega')$ such that $x_{k_r}^n$ converges to it
- Compute the covariance of $W_t$ and $B_t=\int_0^t\mathrm{sgn}(W)dW$, for a Brownian motion $W$
- Mean and variance of $X:=(k-3)^2$ for $k\in\{1,\ldots,6\}$.
- 4th moment of a Wiener stochastic integral?
- Unsure how to calculate $dY_{t}$
- What techniques for proving that a stopping time is finite almost surely?
- Optional Stopping Theorem for martingales
- $dX_t=\alpha X_t \,dt + \sqrt{X_t} \,dW_t, $ with $X_0=x_0,\,\alpha,\sigma>0.$ Compute $E[X_t] $ and $E[Y]$ for $Y=\lim_{t\to\infty}e^{-\alpha t}X_t$
Related Questions in STOCHASTIC-INTEGRALS
- Meaning of a double integral
- 4th moment of a Wiener stochastic integral?
- Cross Variation of stochatic integrals
- Stochastic proof variance
- Solving of enhanced Hull-White $dX_t = \frac{e^t-X_t}{t-2}dt + tdW_t$
- Calculating $E[exp(\int_0^T W_s dW_s)]$?
- Applying Ito's formula on a $C^1$ only differentiable function yielding a martingale
- what does it mean by those equations of random process?
- Why aren't the sample paths of this stochastic process defined?
- Is the solution to this (simple) Stochastic Differential Equation unique?
Trending Questions
- Induction on the number of equations
- How to convince a math teacher of this simple and obvious fact?
- Find $E[XY|Y+Z=1 ]$
- Refuting the Anti-Cantor Cranks
- What are imaginary numbers?
- Determine the adjoint of $\tilde Q(x)$ for $\tilde Q(x)u:=(Qu)(x)$ where $Q:U→L^2(Ω,ℝ^d$ is a Hilbert-Schmidt operator and $U$ is a Hilbert space
- Why does this innovative method of subtraction from a third grader always work?
- How do we know that the number $1$ is not equal to the number $-1$?
- What are the Implications of having VΩ as a model for a theory?
- Defining a Galois Field based on primitive element versus polynomial?
- Can't find the relationship between two columns of numbers. Please Help
- Is computer science a branch of mathematics?
- Is there a bijection of $\mathbb{R}^n$ with itself such that the forward map is connected but the inverse is not?
- Identification of a quadrilateral as a trapezoid, rectangle, or square
- Generator of inertia group in function field extension
Popular # Hahtags
second-order-logic
numerical-methods
puzzle
logic
probability
number-theory
winding-number
real-analysis
integration
calculus
complex-analysis
sequences-and-series
proof-writing
set-theory
functions
homotopy-theory
elementary-number-theory
ordinary-differential-equations
circles
derivatives
game-theory
definite-integrals
elementary-set-theory
limits
multivariable-calculus
geometry
algebraic-number-theory
proof-verification
partial-derivative
algebra-precalculus
Popular Questions
- What is the integral of 1/x?
- How many squares actually ARE in this picture? Is this a trick question with no right answer?
- Is a matrix multiplied with its transpose something special?
- What is the difference between independent and mutually exclusive events?
- Visually stunning math concepts which are easy to explain
- taylor series of $\ln(1+x)$?
- How to tell if a set of vectors spans a space?
- Calculus question taking derivative to find horizontal tangent line
- How to determine if a function is one-to-one?
- Determine if vectors are linearly independent
- What does it mean to have a determinant equal to zero?
- Is this Batman equation for real?
- How to find perpendicular vector to another vector?
- How to find mean and median from histogram
- How many sides does a circle have?