# Ito's formula??

Printable View

• December 7th 2008, 01:16 PM
hunkydory19
Ito's formula??
Consider the process specified by the following Ito SDE

$dX = \frac{1}{\tau}Xdt + \sqrt{2D}dW$ with $X(0) = x_0$

Derive ordinary differential equation for $g(t) = <{X_t}^2>$ and solve it.

Could anyone please give me some hints with this question? I think I have to use Ito's formula but not sure how...

Thanks in advance!