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That's all the information I have. Please help me to figure out these problems. Thank you Let X(t) be a generalized Brownian of the form
That's all the information I have. Please help me to figure out these problems. Thank you
Let X(t) be a generalized Brownian of the form dX(t) = X(t)dt+oX(t)dw(t), where dw(t) is a Brownian motion and u and o are constants. Let f(t, ) a be function whose first and second derivatives are well-defined. Using Ito's lemma, calculate the total differential df (t, X(t)) of f(t, X(t)) in the following cases: 1. f(t, x) = a + br; a, b are non-zero constants 2. f(t, x) = a +ba?; a, b are non-zero constants 3. f(t,0) = e-rt+a+hr; a, b, and r are non-zero constants 4. f(t, x) = log(a + bc); a, b are non-zero constants Let X(t) be a generalized Brownian of the form dX(t) = X(t)dt+oX(t)dw(t), where dw(t) is a Brownian motion and u and o are constants. Let f(t, ) a be function whose first and second derivatives are well-defined. Using Ito's lemma, calculate the total differential df (t, X(t)) of f(t, X(t)) in the following cases: 1. f(t, x) = a + br; a, b are non-zero constants 2. f(t, x) = a +ba?; a, b are non-zero constants 3. f(t,0) = e-rt+a+hr; a, b, and r are non-zero constants 4. f(t, x) = log(a + bc); a, b are non-zero constantsStep by Step Solution
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