4) Solve the stochastic differential equationX(t)-dt +1+tdX(t)dB(t),assuming a solution of the form X(t) = g(t,B(t)), where g() is a C? function.

To solve the stochastic differential equation dXt=-Xt1+tdt+11+tdBt , assuming a…

Answered: 4) Solve the stochastic differential…

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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4) Solve the stochastic differential equation X(t) -dt + 1+t аx() - -dB(t), 1+t assuming a solution of the form X(t) = g(t, B(t)), where g(0) is a C² function.