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(12) Let dS₁ = 0.1S₂dt +0.2S₁dW₁ and dS₂ = 0.15Sądt +0.3S₂dW₂, where W₁, W₂ are dependent Wiener processes with Corr(W₁ (t), W₂(t)) = 0.6. When it is known that S₁ (0) = 5 and S₂(0) = 20 find P(S₁ (4)S₂(4) ≤ 150). (a) 0.20 O (c) 0.26 O (d) 0.32 O (Select One) (b) 0.23 O (e) 0.35 N/A Ⓒ

(12) Let dS₁ = 0.1S₂dt +0.2S₁dW₁ and dS₂ = 0.15Sądt +0.3S₂dW₂, where W₁, W₂ are dependent Wiener processes with Corr(W₁ (t), W₂(t)) = 0.6. When it is known that S₁ (0) = 5 and S₂(0) = 20 find P(S₁ (4)S₂(4) ≤ 150). (a) 0.20 O (c) 0.26 O (d) 0.32 O (Select One) (b) 0.23 O (e) 0.35 N/A Ⓒ

Advanced Engineering Mathematics
Advanced Engineering Mathematics
10th Edition
ISBN:9780470458365
Author:Erwin Kreyszig
Publisher:Erwin Kreyszig
Chapter2: Second-order Linear Odes
Section: Chapter Questions
Problem 1RQ
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(12) Let dS₁ = 0.1S₁dt +0.2S₁dW₁ and dS₂ = 0.15S₂dt + 0.3S2dW2, where W₁, W₂ are dependent Wiener processes with Corr(W₁ (t), W₂(t)) = 0.6. When it is known that S₁ (0) = 5 and S₂(0) = 20 find P(S₁ (4)S₂ (4) ≤ 150). (a) 0.20 (b) 0.23 (c) 0.26 (d) 0.32 (Select One) (e) 0.35 O N/A O
Transcribed Image Text:(12) Let dS₁ = 0.1S₁dt +0.2S₁dW₁ and dS₂ = 0.15S₂dt + 0.3S2dW2, where W₁, W₂ are dependent Wiener processes with Corr(W₁ (t), W₂(t)) = 0.6. When it is known that S₁ (0) = 5 and S₂(0) = 20 find P(S₁ (4)S₂ (4) ≤ 150). (a) 0.20 (b) 0.23 (c) 0.26 (d) 0.32 (Select One) (e) 0.35 O N/A O
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