Question
Let (Bt)t>=0 denote a standard Brownian motion. Show that the stochastic differential equation dXt =(- Xt/( 1 - t)) dt + (1/ (1 + t))
Let (Bt)t>=0 denote a standard Brownian motion. Show that the stochastic differential equation dXt =(- Xt/( 1 - t)) dt + (1/ (1 + t)) dBt , X0 = 0, admits the solution Xt = Bt /(1 + t) , t >= 0.
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Stochastic Calculus And Applications
Authors: Samuel N Cohen, Robert J Elliott
2nd Edition
1493928678, 9781493928675
