Use Itos Lemma to evaluate d(S). For the following four problems, use Itos Lemma to determine the

Use Itˆo’s Lemma to evaluate d(√S).

For the following four problems, use Itˆo’s Lemma to determine the procedure followed by the specified equation, assuming that S(t) follows

1. Arithmetic Brownian motion, equation (20.8);

2. A mean reverting process, equation (20.9); and

3. Geometric Brownian motion, equation (20.11).