- #1
Sa7oru
- 1
- 0
Hi,
There is one step in Ito Isometry proof I don't understand.
Bt(w) represents the position of w at time t, then E[(Btj+1(w)-Btj(w))2] = tj+1 - tj.
Why is the expectation of the square of the difference of 2 positions equal to their time difference?
Any hint, please.
Thank you.
There is one step in Ito Isometry proof I don't understand.
Bt(w) represents the position of w at time t, then E[(Btj+1(w)-Btj(w))2] = tj+1 - tj.
Why is the expectation of the square of the difference of 2 positions equal to their time difference?
Any hint, please.
Thank you.