I am new to stochastic calculus. Can I know how to compute the close-form solution for ∫t0exp(αs−σWs)ds
and ∫t0exp(αs−σWs)dWs.
I encounter that when trying to solve for the following SDE dXt=θ(μ−Xt)dt+σXtdWt
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...
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