Brownian motion - one dimensional

PERAV

New member
Joined
Oct 21, 2015
Messages
1
Hi all.

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

I'm a little lost but I think I have to use Ito's formula.
 
Last edited by a moderator:
Top