How to derive this step in the Ito integral?
- From: "Cris" <cris.ding@xxxxx>
- Date: 19 Sep 2005 14:40:31 -0700
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
How does the above equation hold?
Thanks in advance.
VB
/Cris
.
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