. Let Xt be a diffusion defined by the stochastic differential equation dXt = (1/2) dt + Sqrt(Xt dBt,) | X0 = 1. Fi
Posted: Thu May 12, 2022 9:58 am
. Let Xt be a diffusion defined by the stochastic
differential equation
dXt = (1/2) dt + Sqrt(Xt
dBt,) | X0 = 1.
Find a PDE which must be satisfied by f(t, x) in order for f(t,
Xt) to be a martingale with respect to the Brownian filtration.
differential equation
dXt = (1/2) dt + Sqrt(Xt
dBt,) | X0 = 1.
Find a PDE which must be satisfied by f(t, x) in order for f(t,
Xt) to be a martingale with respect to the Brownian filtration.