I need help with the following exercise:
SupposeX and Y evolve according to
dXt = (2 + 5t + Xt)dt + 3dz1t
dYt = 4Ytdt + 8Ytdz1t + 6dz2t;
wherez1t and z2t are Brownian motions with (dz1t)(dz2t) = 0,1dt. Determine the dynamics (SDE) of
a) X^4
b)eX
c)XY
d) X^4Y
thanks! any thoughts and suggestions are appreciated!