Stratonovich integral $\int_0^T W_t \circ dW_t$

calculusproof-explanationriemann sumstochastic-calculusstochastic-integrals

I am trying to teach myself some stochastic calculus and am struggling to derive a Stratonovich integral. I am trying to understand how, considering the integral
\begin{equation}
\int_0^T W_t \circ dW_t
\end{equation}

we get the Riemann sum
\begin{align}
\Rightarrow& \sum_{j=0}^{n-1} W(\frac{t_{j+1} – t_j}{2}) ( W(t_{j+1}) – W(t_{j}))\\
& \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \vdots\\
&=\frac{1}{2} (W^2(T) -W^2(0)) + \sum_{j=0}^{n-1}( W(t_{j+1}) – W(t_{j})).
\end{align}

Can anyone provide the identity used to get the last step above (simplifying the Riemann sum) or show how to get to the final step from the initial definition?

Best Answer

Your expression for Stratanovich integral is wrong - the correct sum should be

$$\sum\frac{W(t_{j+1})+W(t_j)}{2}(W(t_{j+1})-W(t_j))=\frac12\sum W^2(t_{j+1})-W^2(t_j)=\frac12 W^2(T)-\frac12 W^2(0).$$