5.5. a) Solve the Ornstein-Uhlenbeck equation (or Langevin equation) dXt = µXµdt + odB; where µ,0 are real constants, B E R. The solution is called the Ornstein-Uhlenbeck process. (Hint: See Exercise 5.4 (ii).) b) Find E[X,] and Var[X;]:= E[(X – E[X;])²].

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Langevin equation question

5.5. a) Solve the Ornstein-Uhlenbeck equation (or Langevin equation)
dXt = µXµdt + odB
where u, o are real constants, B E R.
The solution is called the Ornstein-Uhlenbeck process. (Hint: See
Exercise 5.4 (ii).)
b) Find E[X;] and Var[X,]: = E[(X, – E[X;])²].
Transcribed Image Text:5.5. a) Solve the Ornstein-Uhlenbeck equation (or Langevin equation) dXt = µXµdt + odB where u, o are real constants, B E R. The solution is called the Ornstein-Uhlenbeck process. (Hint: See Exercise 5.4 (ii).) b) Find E[X;] and Var[X,]: = E[(X, – E[X;])²].
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