Solve the stochastic differential equation 2 dX, + X,dt = dB, with initial condition Xo = 1 and find the distribution of X1.

Advanced Engineering Mathematics
10th Edition
ISBN:9780470458365
Author:Erwin Kreyszig
Publisher:Erwin Kreyszig
Chapter2: Second-order Linear Odes
Section: Chapter Questions
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Solve the stochastic differential equation
2
ах, +
X,dt = dB,
Vi
with initial condition Xo = 1 and find the distribution of X1.
Transcribed Image Text:Solve the stochastic differential equation 2 ах, + X,dt = dB, Vi with initial condition Xo = 1 and find the distribution of X1.
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