Gaussianity of deterministic Brownian stochastic integrals

ID: gaussianity-of-deterministic-brownian-stochastic-integrals

For deterministic square-integrable , approximate by step functions. Their Itô integrals are sums of independent normal Brownian increments. The Itô isometry gives convergence in , and the variances converge to ; convergence of characteristic functions proves the normal limit. Each linear combination of finitely many such integrals is another deterministic stochastic integral, so they are jointly Gaussian.

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