Explore BrainMass

Explore BrainMass

    Stochastic differential equation

    Not what you're looking for? Search our solutions OR ask your own Custom question.

    This content was COPIED from BrainMass.com - View the original, and get the already-completed solution here!

    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)

    © BrainMass Inc. brainmass.com March 4, 2021, 8:46 pm ad1c9bdddf


    Solution Preview


    Please find the solution in the attached file.

    Stochastic ...

    Solution Summary

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