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Thread: Brownian motion - one dimensional

  1. #1
    New Member
    Join Date
    Oct 2015

    Brownian motion - one dimensional

    Hi all.

    How do i show that [tex] \, x_t\, =\, 2\, \int_0^t z_u\, dz_u\,[/tex] if i know that the one-dimensional Brownian motion is defined by z=(zt) and the process is [tex]\, x\, =\, (x_t)\,[/tex] and is defined by [tex]\, x_t\, =\, {z_t}^2\, -\, t\, ?[/tex]

    I'm a little lost but I think I have to use Ito's formula.
    Last edited by stapel; 10-21-2015 at 09:57 AM. Reason: Typing out the text contained in the graphics.

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