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Please help me with solving this SDE: Problem 7. Consider the following SDE dXt = Xtsign(X )dt + XidWt, Xo = 1. a) Find a

Please help me with solving this SDE:

Problem 7. Consider the following SDE dXt = Xtsign(X )dt + XidWt, Xo = 1. a) Find a strong solution. b) Find a weak solution that is different from the solution in a). X20 Sign x = Xco

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