What can we say about distribution of
$\int_t^TN(\mu(s),\sigma^2(s))ds$
,where $N(\mu,\sigma)$ is independent normally distributed with mean $\mu(s)$ and variance $\sigma^2(s)$, $T$ and $t$ are finite?
What can we say about distribution of
$\int_t^TN(\mu(s),\sigma^2(s))ds$
,where $N(\mu,\sigma)$ is independent normally distributed with mean $\mu(s)$ and variance $\sigma^2(s)$, $T$ and $t$ are finite?