Exercise 13.10 In the SDE (13.36), suppose that (x, t) = x and (x, t) = x,

Exercise 13.10 In the SDE (13.36), suppose that μ(x, t) = μx and σ(x, t) =

σx, where μ and σ are constants. Prove that this model satisfies both the growth condition (C1) and the Lipschitz condition (C2). How about the case that σ(x, t) = min{σx2,M} for some M > 0?