4. Solve the following stochastic differential equation dxt = (3X+)dt +2dBt with Xo = 1, where Bt is a one-dimensional Brownian motion. Find the distribution of Xt for every t > 0 as well as the limiting distribution of Xt as t→ ∞.

4. Solve the following stochastic differential equation dxt = (3X+)dt +2dBt with Xo = 1, where Bt is a one-dimensional Brownian motion. Find the distribution of Xt for every t > 0 as well as the limiting distribution of Xt as t→ ∞.

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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