Take the 2-minute tour ×
Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It's 100% free, no registration required.

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

Find $dZ$ ?

share|improve this question
    
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.

share|improve this answer

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.