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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Originally Posted by paolopiace 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! Try reading this .....
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