Positive Ito Process Let Xt be a positive one-dimensional Ito process for t 0. Show that there exist functions and such that

Positive Itˆo Process Let Xt be a positive one-dimensional Itˆo process for t ≥ 0. Show that there exist functions α and β such that dXt = Xt(αt dt + βt dWt) and Xt = X0 exp  t 0 (αs − 1 2 β2 s ) ds +  t 0 βs dWs *