Let W(t) be Brownian motion. Using Ito's lemma evaluate | (4w (t) – 124W (t))dW(t)

Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
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Chapter4: Eigenvalues And Eigenvectors
Section4.6: Applications And The Perron-frobenius Theorem
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(b) Let W(t) be Brownian motion. Using Ito's lemma evaluate
| (4w*(t) – 121W (t))dW(t)
(c) St follows a stochastic process given by
dS; = (a – bS;)dt + odW;
where Wt is a Brownian motion and a, b, o are all positive.
The process Y; is given by Y = exp(bt)St. Calculate dYt.
Transcribed Image Text:(b) Let W(t) be Brownian motion. Using Ito's lemma evaluate | (4w*(t) – 121W (t))dW(t) (c) St follows a stochastic process given by dS; = (a – bS;)dt + odW; where Wt is a Brownian motion and a, b, o are all positive. The process Y; is given by Y = exp(bt)St. Calculate dYt.
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