PROCESS B: ds = 0.52 dw for some constant o., with S(O) = 1 = O. Let's manipulate PROCESS B using a change of variable (

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Process B Ds 0 52 Dw For Some Constant O With S O 1 O Let S Manipulate Process B Using A Change Of Variable 1 (20.49 KiB) Viewed 15 times

PROCESS B: ds = 0.52 dw for some constant o., with S(O) = 1 = O. Let's manipulate PROCESS B using a change of variable (and Ito's Formula). Let Y(t) = 1/s(t). [3] Apply Ito directly and show that we obtain: dy=(-1/52)ds + (1/2)(2/5) (ds) [4] Can you reframe this and obtain: dy = -a dW+oS dt