Integrate a random function

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Shunan Sheng
Shunan Sheng on 24 May 2021
Commented: Shunan Sheng on 25 May 2021
Let be a proability. Suppose is a random function, i.e. is a random variable for all . How can we evaluate
? In particular, we may assume , where the variance is a function of t.
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Bruno Luong
Bruno Luong on 25 May 2021
To me integral of random is not mathematically defined (the function is NOT integrable).
In relation you might take a look of SDE

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Accepted Answer

Torsten on 25 May 2021
Matlab tools can not be used for this problem because the integral is not simply a numerical value, but a random variable itself.
I think a statistics forum is the more appropriate place to ask your question.

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