(6) Consider the SDE dS(t) = 0.5S(t)dt+2S(t)dW(t), where S(0) is a constant. Does a UNIQUE solution exist? If so find it. The following answers are proposed. (a) The SDE does not satisfy the conditions of the existence of a unique solution. So multiple solutions can exist. (b) The unique solution is S(t) = S(0) exp (1.5t +2W(t)) (c) The unique solution is S(t) = S(0) exp(-1.5t+2W(t)} (d) No solution exists. (e) None of the above is correct. Choose the best answer. (a)

MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
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(6) Consider the SDE dS(t) = 0.5S(t)dt + 2S(t)dW(t), where S(0) is a constant. Does a UNIQUE solution exist? If so find it.
The following answers are proposed.
(a) The SDE does not satisfy the conditions of the existence of a unique solution. So multiple solutions can exist.
(b) The unique solution is S(t) = S(0) exp {1.5t + 2W(t)}
(c) The unique solution is S(t) = S(0) exp{-1.5t + 2W(t)}
(d) No solution exists.
(e) None of the above is correct.
Choose the best answer.
(Select One)
(a)
O
(b)
O
(c)
O
(d)
(e)
O
N/A
O
Transcribed Image Text:(6) Consider the SDE dS(t) = 0.5S(t)dt + 2S(t)dW(t), where S(0) is a constant. Does a UNIQUE solution exist? If so find it. The following answers are proposed. (a) The SDE does not satisfy the conditions of the existence of a unique solution. So multiple solutions can exist. (b) The unique solution is S(t) = S(0) exp {1.5t + 2W(t)} (c) The unique solution is S(t) = S(0) exp{-1.5t + 2W(t)} (d) No solution exists. (e) None of the above is correct. Choose the best answer. (Select One) (a) O (b) O (c) O (d) (e) O N/A O
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