Tuesday, September 1, 2015

stochastic calculus - What is the mean and the standard deviation for Geometric Ornstein-Uhlenbeck Process?


I am uncertain as to how to calculate the mean and variance of the following Geometric Ornstein-Uhlenbeck process.


$$d X(t) = a ( L - X_t ) dt + V X_t dW_t$$


Is anyone able to calculate the mean and variance of this process as well as include the calculations for the solution?




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