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Thread: Stochastic differential equations (Challenging)

  1. September 29th 2010, 06:23 PM #1
    financial
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    Stochastic differential equations (Challenging)

    Hey guys...trying to practice some SDEs for an upcoming exam. Can't seem to get these.

    dX_t = -\alpha X_tdt + \sigma dB_t; X_0 = 1

    Which one of Ito's rule would be best here? I just can't seem to solve it.

    dX_t = -t X_tdt + e^{t^2/2}dB_t; X_0=1; X_0=x_0

    Don't even know how to start this one...

    Any help is appreciated! Thanks.
    Last edited by financial; September 29th 2010 at 07:07 PM.
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  2. September 30th 2010, 10:49 AM #2
    financial
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    Bump. Can anyone help?
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  3. October 4th 2010, 10:43 AM #3
    financial
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    No one here has taken a course on financial engineering or stochastic differential equations?
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