4.15. Let r > 0 be a constant and define Xạ = (r'/3 + Bt)³ ; t20. Show that dX, = }x}/³dt + x?/³dB¢ ; Xo =x . %3D

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Chapter2: Second-order Linear Odes
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stochastic differential equation

4.15. Let æ > 0 be a constant and define
Xt = (x'/3 + Bt)³ ;
t 20.
Show that
dX, = x}/³dt + X?l³dB, ;
Xo = x .
Transcribed Image Text:4.15. Let æ > 0 be a constant and define Xt = (x'/3 + Bt)³ ; t 20. Show that dX, = x}/³dt + X?l³dB, ; Xo = x .
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