Solve the stochastic differential equation X(t) -dt + 1 +t 1 dX(t) -dB(t), 1+t assuming a solution of the form X(t) = g(t,B(t)), where g() is a C² function.

Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
Publisher:David Poole
Chapter6: Vector Spaces
Section6.7: Applications
Problem 7EQ
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Solve the stochastic differential equation
X(t)
dt +
1+t
1
dB(t),
1+t
dX(t)
%D
assuming a solution of the form X(t) = g(t, B(t)), where g() is a C2 function.
Transcribed Image Text:Solve the stochastic differential equation X(t) dt + 1+t 1 dB(t), 1+t dX(t) %D assuming a solution of the form X(t) = g(t, B(t)), where g() is a C2 function.
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