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a) Use the Ito formula to prove that E (Bt) = 3t2 (Hint: Use f (x) = x4. apply Ito formula and take expected value
a) Use the Ito formula to prove that E (Bt) = 3t2 (Hint: Use f (x) = x4. apply Ito formula and take expected value on both sides). b) Use the Ito formula to solve the Ornstein-Uhlenbeck stochastic differential equation: dx, = -0X-dt + odBt Hint: Take f(x, y) = xexp(Oy) and the process Yt = (Xt, t)
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