Hi all,

Been trying to make sense of this for a couple days now, but my background in calculus is a little light.... Taking a financial engineering class and trying to work a solution for the following:

Wis a Brownian motion. Use Ito's Lemma to derive_{t}dX = µ(W,t)dt + σ(W,t)dWfor the following function:_{t}

X_{t }= exp{ ∫_{0}^{t}θdW_{s}– 1/2 ∫_{0}^{t}θ^{2}ds }

Thanks so much in advance!!

Val