Conditionally Gaussian stochastic integral with an independent integrator

ID: conditionally-gaussian-stochastic-integral-with-an-independent-integrator

If the entire integrand path is independent of the integrating Brownian motion, conditioning on that path gives a deterministic square-integrable integrand. The Itô isometry and Gaussian approximation by simple integrands show that its stochastic integral is conditionally centered normal with the stated variance. A strictly positive finite conditional variance implies that the unconditional distribution has no atoms.

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