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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 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
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
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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.
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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