Apply the Itô formula to and the semimartingale vector . Its derivatives give
(1)
Therefore
(2)
This is adapted to the given Brownian filtration and is consequently a strong solution; it is geometric Brownian motion.

Ancestors (10)

  1. 5
  2. Paper 202
  3. iii
  4. 2022
  5. Past exam of the mathematics course of the University of Cambridge
  6. Mathematics course of the University of Cambridge
  7. Course of the University of Cambridge
  8. University of Cambridge
  9. List of universities
  10. Home

View article source

Discussion (0)

New discussion

There are no discussions about this article yet.

Articles by others on the same topic (0)

There are currently no matching articles.
See all articles in the same topic Create my own version