Question on Stochastic Differential Equations.
Show that G=exp(t+aexp(X(t))) is a solution of the stochastic differential equation...
(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)© BrainMass Inc. brainmass.com March 4, 2021, 8:46 pm ad1c9bdddf
Please find the solution in the attached file.
This provides an example of verifying a solution for a stochastic differential equation.