Hello!

I really hope someone can show to me how to resolve the following stochastic differential equation, where W(t) is the Wiener process:

with Y(0) = 1

Result is: exp[W(t) - (t/2)]

Thanks in any case!

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- Mar 9th 2008, 12:44 PMpaolopiaceBasic Stochastic DE
Hello!

I really hope someone can show to me how to resolve the following stochastic differential equation, where W(t) is the Wiener process:

with Y(0) = 1

Result is: exp[W(t) - (t/2)]

Thanks in any case! - Mar 14th 2008, 04:50 AMmr fantastic
Try reading this .....