Let Xt- tt+1 Jo (a) Show that Xt solves SDE dXdt dB.. (b) Show that Xt is Gaussian and find the m...

Question

Question

Let Xt- tt+1 Jo (a) Show that Xt solves SDE dXdt dB.. (b) Show that Xt is Gaussian and find the mean and variance. t+1

math Advanced-Math

Answer 1

Answer #1

dt det Ldnt.ttu. det (b dt t t) L+1 dt dt 召 손-H 包S 3 3 t+D 3 t+I ! (64リ - Mean ECXE) (ttD 2 O- t+H)

Answer 2

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