8. Let S(t) be a positive stochastic process that satisfies the generalized geometric Brownian motion differential equation dS(t) a(t)S(t)dt + o (t)S(t)dW(t), where a(t) and o(t) are adapted processes. (a) Calculate d log S(t). (b) Solve S(t) explicitly.
8. Let S(t) be a positive stochastic process that satisfies the generalized geometric Brownian motion differential equation dS(t) a(t)S(t)dt + o (t)S(t)dW(t), where a(t) and o(t) are adapted processes. (a) Calculate d log S(t). (b) Solve S(t) explicitly.
MATLAB: An Introduction with Applications
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Author:Amos Gilat
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Chapter1: Starting With Matlab
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![8. Let S(t) be a positive stochastic process that satisfies the generalized geometric Brownian
motion differential equation
dS(t)
a(t)S(t)dt +o(t)S(t)dW(t),
where a(t) and o(t) are adapted processes.
(a) Calculate dlog S(t).
(b) Solve S(t) explicitly.](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fc533429f-d6cd-4370-8355-17fb8d46b636%2F35f084c3-463b-44db-883e-6515878dbf14%2F3goi19t_processed.png&w=3840&q=75)
Transcribed Image Text:8. Let S(t) be a positive stochastic process that satisfies the generalized geometric Brownian
motion differential equation
dS(t)
a(t)S(t)dt +o(t)S(t)dW(t),
where a(t) and o(t) are adapted processes.
(a) Calculate dlog S(t).
(b) Solve S(t) explicitly.
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