2 calculus problem need in 2 hours

Stochastic Calculus, Assignment 8, July 23, 2014

Due July 29

Connection with PDE.

1. Let Bt be a standard Brownian Motion. Let γ be a constant and

T > 0 be a fixed maturity. Using Feynman-Kac theorem compute

EB0=xe −γ

T∫ 0

B2 s ds

.

2. Let Bt be a standard Brownian Motion and T a fixed maturity.

Compute

EBt=x

T∫

t

B 2

s ds.

1