For fixed a, b E R consider the following 1-dimensional equation b - Yt 1-t dYt = Verify that dt + dBt; 0

MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
Question
For fixed a, b E R consider the following 1-dimensional equation
b - Yt
1-t
dYt
=
Verify that
dt + dBt;
0<t<1, Yo=a.
+a-n] {
Y = a (1 t) + bt + (1 - t)
dBs
0 < t < 1
solves the equation and prove that lim Y₁ = b a.s.
t-1
Transcribed Image Text:For fixed a, b E R consider the following 1-dimensional equation b - Yt 1-t dYt = Verify that dt + dBt; 0<t<1, Yo=a. +a-n] { Y = a (1 t) + bt + (1 - t) dBs 0 < t < 1 solves the equation and prove that lim Y₁ = b a.s. t-1
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