Itô isometry
= Itô isometry
{c}
{wiki}
For a square-integrable predictable process $H$ and Brownian motion $W$,
$$
\mathbb E\left|\int_0^tH_s\,dW_s\right|^2
=\mathbb E\int_0^tH_s^2\,ds.
$$
= Itô isometry
{c}
{wiki}
For a square-integrable predictable process $H$ and Brownian motion $W$,
$$
\mathbb E\left|\int_0^tH_s\,dW_s\right|^2
=\mathbb E\int_0^tH_s^2\,ds.
$$