3. Solve the following SDEs. Here X₁ = a. 1) dx = µX₂dt + odB₁, ,o are constants. (It is called the Ornstein-Uhlenbeck equation or the Langevin equation.) 2) dX₂ = -X₂dt + e-¹dBt.
3. Solve the following SDEs. Here X₁ = a. 1) dx = µX₂dt + odB₁, ,o are constants. (It is called the Ornstein-Uhlenbeck equation or the Langevin equation.) 2) dX₂ = -X₂dt + e-¹dBt.
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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Transcribed Image Text:3. Solve the following SDEs. Here Xo = a.
1) dx = µX₂dt + odB₁, ,o are constants.
(It is called the Ornstein-Uhlenbeck equation or the Langevin equation.)
2) dx = -X₂dt + e¯¹dB₁.
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