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Diffstat (limited to 'source/know/concept/ito-integral')
-rw-r--r-- | source/know/concept/ito-integral/index.md | 24 |
1 files changed, 9 insertions, 15 deletions
diff --git a/source/know/concept/ito-integral/index.md b/source/know/concept/ito-integral/index.md index f087f97..4a725e1 100644 --- a/source/know/concept/ito-integral/index.md +++ b/source/know/concept/ito-integral/index.md @@ -29,6 +29,7 @@ and $$\mathbf{E}[G_t^2]$$ is integrable for $$t \in [a, b]$$. If $$I_t$$ exists, $$G_t$$ is said to be **Itō-integrable** with respect to $$B_t$$. + ## Motivation Consider the following simple first-order differential equation for $$X_t$$, @@ -99,7 +100,8 @@ $$\begin{aligned} \end{aligned}$$ For more information about applying the Itō integral in this way, -see the [Itō calculus](/know/concept/ito-calculus/). +see the [Itō calculus](/know/concept/ito-process/). + ## Properties @@ -138,11 +140,8 @@ $$\begin{aligned} } \end{aligned}$$ -<div class="accordion"> -<input type="checkbox" id="proof-isometry"/> -<label for="proof-isometry">Proof</label> -<div class="hidden" markdown="1"> -<label for="proof-isometry">Proof.</label> + +{% include proof/start.html id="proof-isometry" -%} We write out the left-hand side of the Itō isometry, where eventually $$h \to 0$$: @@ -208,20 +207,16 @@ $$\begin{aligned} \longrightarrow \int_a^b \mathbf{E} \big[ G_t^2 \big] \dd{t} \end{aligned}$$ +{% include proof/end.html id="proof-isometry" %} -</div> -</div> Furthermore, Itō integrals are [martingales](/know/concept/martingale/), meaning that the average noise contribution is zero, which makes intuitive sense, since true white noise cannot be biased. -<div class="accordion"> -<input type="checkbox" id="proof-martingale"/> -<label for="proof-martingale">Proof</label> -<div class="hidden" markdown="1"> -<label for="proof-martingale">Proof.</label> + +{% include proof/start.html id="proof-martingale" -%} We will prove that an arbitrary Itō integral $$I_t$$ is a martingale. Using additivity, we know that the increment $$I_t \!-\! I_s$$ is as follows, given information $$\mathcal{F}_s$$: @@ -259,8 +254,7 @@ so from the Itō isometry we have $$\mathbf{E}[I]^2 < \infty$$, and therefore $$\mathbf{E}[I] < \infty$$, so $$I_t$$ has all the properties of a Martingale, since it is trivially $$\mathcal{F}_t$$-adapted. -</div> -</div> +{% include proof/end.html id="proof-martingale" %} |