Hello!
I really hope someone can show to me how to resolve the following stochastic differential equation, where W(t) is the Wiener process:
$\displaystyle
dY(t) = Y(t) dW(t)\
$
with Y(0) = 1
Result is: exp[W(t) - (t/2)]
Thanks in any case!
Hello!
I really hope someone can show to me how to resolve the following stochastic differential equation, where W(t) is the Wiener process:
$\displaystyle
dY(t) = Y(t) dW(t)\
$
with Y(0) = 1
Result is: exp[W(t) - (t/2)]
Thanks in any case!