[Math] Why this Ito integral has zero mean

stochastic-calculus

Let $W_t$ be the one-dimensional Wiener process.

Does the following integral
$$\int_0^t f(W_s) dW_s,$$
where $f:\mathbb{R} \to \mathbb{R}$ continuous with second derivative, have zero mean for any fixed $t>0$?

The integral can be considered as a limit in probability of the Riemann sums $\sum_i f(W_{t_i}) (W_{t_{i+1}} – W_{t_i})$, whose means are zero. But dominated convergence theorem cannot be applied here.

Best Answer

Short answer: The stochastic integral, in Kunita-Watanabe sense, defines a martingale. Read P.195 of the article http://www-math.mit.edu/~dws/ito/ito7.pdf.

Long answer: We need to ask how is the stochastic integral defined. To answer such question, we need a lot of preparation (e.g. a chapter in a textbook). You may consult the famous book "Probabilities and Potential" by Claude Dellacherie and Paul-Andre Meyer.

Although it is true that the Riemann sum converges to the stochastic integral in probability, this fact is very hard to prove and there is a lot of technical difficulty. For example, imagine that we have not defined the stochastic integral yet, then: How can we tell the Riemann sums converge to some random variable in probability? In what sense? (It is not a sequence of random variables, but involving choices of $t_i$)