Exercise 14.14 Suppose that the process {X(t)} follows the SDE where X(t) and X(t) are sufficiently smooth.

Exercise 14.14 Suppose that the process {X(t)} follows the SDE

where μX(t) and σX(t) are sufficiently smooth. Prove that

Hint: Define

and obtain the SDE for {Y (t)}.

Transcribed Image Text:

= x(t)dt+ox(t)dz, 0