Let \(W_t\) be a standard brownian motion. Fixing an integer \(n\) and a terminal time \(T >0\), let \(\{t_i\}_{i=1}^n\) be a partition of the interval \([0,T]\) with
\[0=t_0 < t_1< \cdots< t_{n-1} < t_n=T\]
Calculate the following two expressions:
- \[ \mathbf{E} \Big(\sum_{k=1}^n W_{t_k} \big[ W_{t_{k}} – W_{t_{k-1}} \big] \Big)\]
Hint: you might want to do the second part of the problem first and then return to this question and write
\[W_{t_k} \big[ W_{t_{k}} – W_{t_{k-1}} \big]= W_{t_{k-1}} \big[ W_{t_{k}} – W_{t_{k-1}} \big]+ \big[W_{t_{k}} -W_{t_{k-1}}\big]\big[ W_{t_{k}} – W_{t_{k-1}}\big]\] - \[ \mathbf{E} \Big(\sum_{k=1}^n W_{t_{k-1}} \big[ W_{t_{k}} – W_{t_{k-1}} \big] \Big)\]