Hello, I'm trying to complete a course on SDE and I need to solve two stochastic differential equations.
They are supposed to be easy, but I'm still a beginner and to be honest I'm quite stuck .
The equations are the following:
dXt = dt + dWtx
dYt = XtdWty
Where dWtxand dWtyare uncorrelated Brownian motions.
Any answers or suggestions will be greatly appreciated! Thanks a lot!!