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Math Help - stochastic differential equation

  1. #1
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    stochastic differential equation

    \mu\in\mathbb{R},\sigma>0 and we consider the stochastic differential equation dX_t=\mu X_tdt+\sigma X_tdB_t with X_0=x>0. How do I show that X_t=xe^{\sigma B_t+(\mu-\sigma^2/2)t}?
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  2. #2
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    Apply Ito's Lemma with f=log.
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  3. #3
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    Thank you, it worked.
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  4. #4
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    No worries
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