Re: How to derive this step in the Ito integral?

From: Karl <breitu@xxxxxxxx>
Date: Tue, 20 Sep 2005 11:58:54 +0200

Cris wrote:

In the derivation of the Ito integral, given W the Wiener process, a
critical step is:


E[(w(i+1)-w(i))^4]=3(t(i+1)-t(i))^2

What is there critical? w(i+1)-w(i) is a zero-mean normal random variable with variance t(i+1)-t(i). What is the relation between the variance and the fourth moment of a zero-mean normal random variable? Ciao Karl

References:
- How to derive this step in the Ito integral?
  - From: Cris

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