i've a function t^(1/2) * X(t) where X(t) is Brownian motion I'm looking to differentiate in respect of t. df/dt = X(t)/[2sqrt(t)] + t^(1/2).dx/dt is that correct? or can i remove the dx/dt part. (Sorry I've got a pile of BM questions)
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Originally Posted by Tribal5 i've a function t^(1/2) * X(t) where X(t) is Brownian motion I'm looking to differentiate in respect of t. df/dt = X(t)/[2sqrt(t)] + t^(1/2).dx/dt is that correct? or can i remove the dx/dt part. (Sorry I've got a pile of BM questions) You definitely need to keep the dx/dt there (assuming that you're using x and X interchangeably, which you shouldn't...)
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