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    Question on Stochastic Differential Equations.

    Show that G=exp(t+aexp(X(t))) is a solution of the stochastic differential equation...

    Stochastic Calculus

    (a) Show that

    Is a solution of the stochastic differential equation

    (b) By considering the form show that

    where should be determined.

    Similar form question for (a)

    Similar form question for (b)

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    https://brainmass.com/math/calculus-and-analysis/stochastic-differential-equation-193313

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    Please find the solution in the attached file.

    Stochastic ...

    Solution Summary

    This provides an example of verifying a solution for a stochastic differential equation.

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