5.2. A natural candidate for what we could call Brownian motion on the ellipse where a > 0,b >0 %3D is the process X; =(X1(t), X2(t)) defined by X1(t) = a cos B. , X2(t) = bsin B; where B; is 1-dimensional Brownian motion. Show that Xị is a solution of the stochastic differential equation dX = -X,dt + M X¿dB¿ %3D where M =
5.2. A natural candidate for what we could call Brownian motion on the ellipse where a > 0,b >0 %3D is the process X; =(X1(t), X2(t)) defined by X1(t) = a cos B. , X2(t) = bsin B; where B; is 1-dimensional Brownian motion. Show that Xị is a solution of the stochastic differential equation dX = -X,dt + M X¿dB¿ %3D where M =
Advanced Engineering Mathematics
10th Edition
ISBN:9780470458365
Author:Erwin Kreyszig
Publisher:Erwin Kreyszig
Chapter2: Second-order Linear Odes
Section: Chapter Questions
Problem 1RQ
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