[944] Differentiating Integrals

[Richard Rosenbaum]

When differentiating integrals, is there a difference between Ito integrals
and regular Riemann integrals?

Specifically, please see below (sorry I don't know how to use Latex!).

The top contains an extra dW term in the derivative, whereas the bottom
does not contain an extra dt.

Is this because the first integral is Ito, so we must retain the dW?

For reference, top is review problem 7.5 and bottom is review problem 7.2.
Thanks in advance!


[image: Inline image 1]

Rich

-- 
Richard Rosenbaum
Master of Science in Computational Finance Candidate
Carnegie Mellon University - Class of Dec. 2018
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://lists.andrew.cmu.edu/pipermail/mscf-944/attachments/20171117/91d32159/attachment-0001.html>
-------------- next part --------------
A non-text attachment was scrubbed...
Name: image.png
Type: image/png
Size: 99344 bytes
Desc: not available
URL: <http://lists.andrew.cmu.edu/pipermail/mscf-944/attachments/20171117/91d32159/attachment-0001.png>