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$Z(t) = \int_0^t g(s)\,dW(s)$, where $g$ is an adapted stochastic process.

Find $dZ$ ?

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closed as off-topic by Goos, Fundamental, Mark Fantini, Grigory M, Alizter Jan 1 at 20:40

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What did you try? –  Jonas Teuwen Dec 12 '10 at 22:46
vishal, usually you explain what you tried, where you had problem, etc. You don't simply expect people to solve it for you, especially if this is homework. –  Vivi Dec 12 '10 at 22:49
Well this is not homework :) I guess, I am getting confused in understanding how to take a partial derivative wrt to the W and t. I could do the ones without the intergral. –  vishal Shekhar Dec 12 '10 at 23:06

1 Answer 1

$d Z_t = g(t) d W_t$. If you have problems with this, you should redo basics of stochastic calculus and Brownian motion.

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