I have a problem to find the expectation of the following expression,
$$E\left[W_T e^{\int_0^T(W_s)ds}\right].$$
Here, $W_T$ is a Brownian motion. Any suggestions as to how to proceed with it? Many thanks for the help!
How to calculate the following expectation
2
$\begingroup$
calculus
stochastic-calculus
stochastic-integrals
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2calculate $E(exp^{\int^T W_s ds})$ by using that exponent is gaussian, then differentiate result wrt $T$...I'm assuming $W_t$ is brownian motion, and that you wanted $W_T$ out front – 2012-12-13
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0Got it, many thanks!!! – 2012-12-14