3. Find the generator of X = Xo + µt + oWt, where W is a standa BM, and identify the PDE satisfied by u(t, x) := E[f(Xt)|Xo = x]

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3. Find the generator of X = Xo + µt + oW1, where W is a standard
BM, and identify the PDE satisfied by u(t, x) := E[F(Xt)|Xo = x] for
any bounded f : R → R.
Transcribed Image Text:3. Find the generator of X = Xo + µt + oW1, where W is a standard BM, and identify the PDE satisfied by u(t, x) := E[F(Xt)|Xo = x] for any bounded f : R → R.
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