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Math Help - Basic Stochastic DE

  1. #1
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    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:

    <br />
dY(t) = Y(t) dW(t)\<br />
    with Y(0) = 1

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

    Thanks in any case!
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  2. #2
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    Quote Originally Posted by paolopiace View Post
    Hello!

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

    <br />
dY(t) = Y(t) dW(t)\<br />
    with Y(0) = 1

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

    Thanks in any case!
    Try reading this .....
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