sde

  1. D

    Exploding SDE

    Hi! I'm looking for an SDE that always explodes and one SDE such that the fact whether it explodes or not depends on its starting value X(0).
  2. A

    stochastic calculus. Brownian motion. SDE

    I need help with the following exercise: Suppose X and Y evolve according to dXt = (2 + 5t + Xt)dt + 3dz1t dYt = 4Ytdt + 8Ytdz1t + 6dz2t; where z1t 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...
  3. M

    SDE

    Anybody know the stochastic differential equation (SDE), Pl help me explain that: " for c(t,\widetilde{S}(t)) dc=\frac{dc}{dt}[dt]+\frac{dc}{dS}[dS]+\frac{1}{2}\frac{d^2 c}{dS^2}[dS]^2 dS=\mu S dt+\sigma S dz [dS]^2=\sigma^2 S^2 dt"
  4. C

    SDE

    Solve the differential equation Use the initial condition . Express in terms of . .
  5. Mathstud28

    Simple SDE

    I was reading a book for reviewing the GRE for mathematics...and I came across this problem "Describe the family of curves described by x\cdot{dy}=y\cdot{dx}"...so I preceeded to go \frac{dy}{y}=\frac{dx}{x}...which means that ln|y|=ln|x|+C which means that y=Cx...so I picked choice A" The set...