Sunday, December 9, 2018

close form for stochastic integral


I am new to stochastic calculus. Can I know how to compute the close-form solution for t0exp(αsσWs)ds

and t0exp(αsσWs)dWs.
I encounter that when trying to solve for the following SDE dXt=θ(μXt)dt+σXtdWt




No comments:

Post a Comment

technique - How credible is wikipedia?

I understand that this question relates more to wikipedia than it does writing but... If I was going to use wikipedia for a source for a res...