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(9) Find the SDE for V(t, S(t)) = S²(t) when dS = (1 – S)dt + dW. The following answers are proposed. (a) dV = 2√Vdt + 2√VdW (b) dV = (1+2√V-2V)dt + 2√VdW (c) dV = (1-3V)dt + √VdW (d) dV = (3-2√V - 2V)dt + 2√Vdw (e) None of the above is correct Choose the best answer. (Select One) (a) O (b) O (c) O (d) O (e) O N/A

(9) Find the SDE for V(t, S(t)) = S²(t) when dS = (1 – S)dt + dW. The following answers are proposed. (a) dV = 2√Vdt + 2√VdW (b) dV = (1+2√V-2V)dt + 2√VdW (c) dV = (1-3V)dt + √VdW (d) dV = (3-2√V - 2V)dt + 2√Vdw (e) None of the above is correct Choose the best answer. (Select One) (a) O (b) O (c) O (d) O (e) O N/A

Advanced Engineering Mathematics
Advanced Engineering Mathematics
10th Edition
ISBN:9780470458365
Author:Erwin Kreyszig
Publisher:Erwin Kreyszig
Chapter2: Second-order Linear Odes
Section: Chapter Questions
Problem 1RQ
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(9) Find the SDE for V(t, S(t)) = S² (t) when dS = (1 – S)dt + dW. The following answers are proposed. (a) dV = 2√Vdt + 2√VdW (b) dV = (1+2√V − 2V)dt + 2√VdW (c) dV = (1-3V)dt + √VdW (d) dV = (3-2√V – 2V)dt + 2√VdW (e) None of the above is correct Choose the best answer. (Select One) (a) O (b) O (c) O (d) O (e) O N/A O
Transcribed Image Text:(9) Find the SDE for V(t, S(t)) = S² (t) when dS = (1 – S)dt + dW. The following answers are proposed. (a) dV = 2√Vdt + 2√VdW (b) dV = (1+2√V − 2V)dt + 2√VdW (c) dV = (1-3V)dt + √VdW (d) dV = (3-2√V – 2V)dt + 2√VdW (e) None of the above is correct Choose the best answer. (Select One) (a) O (b) O (c) O (d) O (e) O N/A O
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