AppliedMultiple choice

Using the Itô product rule on tWttW_t, which identity holds?

  1. A∫0Tt dWt=TWT+∫0TWt dt\int_0^T t\,dW_t = TW_T + \int_0^T W_t\,dt
  2. B∫0Tt dWt=TWT−∫0TWt dt\int_0^T t\,dW_t = TW_T - \int_0^T W_t\,dt
  3. C∫0Tt dWt=12T2WT\int_0^T t\,dW_t = \tfrac{1}{2} T^2 W_T
  4. D∫0Tt dWt=TWT−12T\int_0^T t\,dW_t = TW_T - \tfrac{1}{2} T

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