Statement
For constants $a,b$ and integrands $Y^{(1)},Y^{(2)}$,
$$ \int_0^t (aY_s^{(1)}+bY_s^{(2)}),dB_s
a\int_0^t Y_s^{(1)},dB_s + b\int_0^t Y_s^{(2)},dB_s. $$
Meaning
The Ito integral is linear in the integrand, just like ordinary integration.
Source Links
- STA447
- Phase 7 Atomic Reading Order
- Phase 7 — Itô Integral 定义与性质
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