Itô Isometry and Variance - Quant Trader Interview Question
Difficulty: Medium
Category: Stochastic Calculus
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Topics: Ito Isometry, stochastic calculus, Brownian motion, variance
Problem Description
Suppose $W_t$ is a standard Brownian motion. Calculate the variance of the stochastic integral $ \int_0^T t \, dW_t$.
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