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I have a questionlike: if $dX=\mu \, dt+\sigma \, dW$, where $W$ is a standard B.m. Then, is this expectation still o,$\int_0^t X(r) \, dW(r)$ ? Thank you all.

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What do you think? Can you quote properties of Ito integral? When is the expectation of the Ito integral defined? –  Sasha Aug 13 '12 at 19:48
    
Are $\mu, \sigma$ constants or stochastic processes? If the latter, what do you know about them? –  Nate Eldredge Aug 14 '12 at 4:04
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