# Math Help - Basic Stochastic DE

1. ## Basic 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:

$
dY(t) = Y(t) dW(t)\
$

with Y(0) = 1

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

Thanks in any case!

2. 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:

$
dY(t) = Y(t) dW(t)\
$

with Y(0) = 1

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

Thanks in any case!