(10) Let X(t) = 13e-¹ + 2(1 − e¯¹) + Selª~¹dW(s). What is the SDE for X(t)? [Hint: Consider Y(t) = e'X(t) — X(0), and obtain its SDE first. Then apply Ito to X(t) = f(t, Y(t)) for an appropriate f.] The following answers are proposed. (a) dx = (2- X(t))dt + 2dW, X(0) = 13 (b) dx = (2 - X(t))dt + dW.X(0) = 1 (c) dx = (13- X(t))dt+dW, X(0) = 2 (d) dx = (2- X(t))dt+dW, X(0) = 13 (e) None of the above is correct Choose the best answer. (h) (c)

(10) Let X(t) = 13e-¹ + 2(1 − e¯¹) + Selª~¹dW(s). What is the SDE for X(t)? [Hint: Consider Y(t) = e'X(t) — X(0), and obtain its SDE first. Then apply Ito to X(t) = f(t, Y(t)) for an appropriate f.] The following answers are proposed. (a) dx = (2- X(t))dt + 2dW, X(0) = 13 (b) dx = (2 - X(t))dt + dW.X(0) = 1 (c) dx = (13- X(t))dt+dW, X(0) = 2 (d) dx = (2- X(t))dt+dW, X(0) = 13 (e) None of the above is correct Choose the best answer. (h) (c)

Algebra & Trigonometry with Analytic Geometry

13th Edition

ISBN:9781133382119

Author:Swokowski

Publisher:Swokowski

Chapter4: Polynomial And Rational Functions

Section: Chapter Questions

Problem 5T

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