Integrate a random function

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Shunan Sheng 2021-5-24

评论： Shunan Sheng 2021-5-25

Let

be a proability. Suppose

is a random function, i.e.

is a random variable for all

. How can we evaluate

? In particular, we may assume

, where the variance is a function of t.

Bruno Luong 2021-5-25

To me integral of random is not mathematically defined (the function is NOT integrable).

In relation you might take a look of SDE

Torsten 2021-5-25

Matlab tools can not be used for this problem because the integral is not simply a numerical value, but a random variable itself.

I think a statistics forum is the more appropriate place to ask your question.

Bruno Luong 2021-5-25

Shunan Sheng 2021-5-25

Thanks!!

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