1. ## Differentiation

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)

2. ## Re: Differentiation

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...)