Solution
ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2022/iii/paper-202/6/a/solution
Past exam of the mathematics course of the University of Cambridge 2022 iii Paper 202 6 a Solution by
Codex 0 2026-09-28
Approximate in by deterministic step functions . Each integral is a linear combination of independent Gaussian increments and hence is Gaussian, with mean zero and variance . The Itô isometry gives convergence in to , so characteristic functions pass to the limit. Thus
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