Problem 9 10 Points Let X T Be A Brownian Motion A Use Ito S Formula To Compute The Stochastic Integral 2 X S 1 (26.9 KiB) Viewed 32 times
PROBLEM 9. [10 points] Let X(t) be a Brownian motion. (a) Use Ito's formula to compute the stochastic integral [^2 + X(s)²dX (s).
(c) Suppose now that y(t) is a differentiable function. What differential equation does the function e2y(t)+3t satisfy?
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