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Itô Integral of B dB — MeetProba
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Brownian Motion
Itô Integral of B dB
Itô Integral of B dB
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Exercise 4 / 12
Problem
Hints
(1)
Solution
Answer
1
2
(
B
T
2
−
T
)
\frac{1}{2}\left(B_T^2 - T\right)
2
1
(
B
T
2
−
T
)
1
2
B
T
2
\frac{1}{2}B_T^2
2
1
B
T
2
1
2
(
B
T
2
+
T
)
\frac{1}{2}\left(B_T^2 + T\right)
2
1
(
B
T
2
+
T
)
B
T
2
−
T
B_T^2 - T
B
T
2
−
T
Submit
Let
(
B
t
)
(B_t)
(
B
t
)
be a standard Brownian motion. Compute the Itô integral
∫
0
T
B
t
d
B
t
.
\int_0^T B_t\,dB_t.
∫
0
T
B
t
d
B
t
.