s*****g
发帖数: 77 | 1 请教大牛：
如果St= integal of W_sd_s from 0 to t, what is the distribution of St?
面试官英语太难听懂了，勉强明白这个意思。 | x******a
发帖数: 6336 | 2 discussed a lot in previous posts.
first note St is Gaussian since it is a limit of sum of Gaussian, ES_t =0 by
exchanging integral and expectation.
we only need to find out the variance of St.
ESt^2=E(\int_0^t W_s ds \int_0^t W_r dr) = \int_0^t \int_0^t min(s,r) ds dr
= 2 \int_0^t \int_0^r s ds dr
=t^3/3.
【在 s*****g 的大作中提到】
: 请教大牛：
: 如果St= integal of W_sd_s from 0 to t, what is the distribution of St?
: 面试官英语太难听懂了，勉强明白这个意思。
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