Finance Let {W(t) : t ≥ 0} be a standard Brownian motion. The stock price of a certain stock S(t) follows the stochastic differential equation at time t is dS(t) S(t) = µdt + σdW(t) Use Itˆo’s lemma to derive the stochastic differential equation for f(S, t) = t × S(t).

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Finance Let {W(t) : t ≥ 0} be a standard Brownian motion. The stock price of a certain stock S(t) follows the stochastic differential equation at time t is dS(t) S(t) = µdt + σdW(t) Use Itˆo’s lemma to derive the stochastic differential equation for f(S, t) = t × S(t).
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