Let (Y) be the solution of [d Y_{t}=left(c Y_{t}+k Y_{t}^{2} ight) d t+sqrt{Y_{t}} d W_{t}] Prove that
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Let \(Y\) be the solution of
\[d Y_{t}=\left(c Y_{t}+k Y_{t}^{2}\right) d t+\sqrt{Y_{t}} d W_{t}\]
Prove that \(Y_{t}=Z\left(\int_{0}^{t} Y_{s} d s\right)\) where \(d Z(u)=(c+k Z(u)) d u+d \widehat{W}_{u}\).
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Related Book For
Mathematical Methods For Financial Markets
ISBN: 9781447125242
1st Edition
Authors: Monique Jeanblanc, Marc Yor, Marc Chesney
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