2.8. Let an Ito process Y(t) = 1/(t+X(t)) in terms of the Ito process X(t) = W(t)2,...
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2.8. Let an Ito process Y(t) = 1/(t+X(t)) in terms of the Ito process X(t) = W(t)2, where W(t) is a Wiener process. Use Ito’s formula to deduce an expression for dY in terms of only t, dt, Y, and dW.
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Related Book For
Elementary Calculus Of Financial Mathematics
ISBN: 978-0898716672
1st Edition
Authors: A. J. Roberts Edition
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