Advanced Engineering Mathematics
Advanced Engineering Mathematics
10th Edition
ISBN: 9780470458365
Author: Erwin Kreyszig
Publisher: Wiley, John & Sons, Incorporated
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4.
Solve the following stochastic differential equation
dxt = (3X+)dt +2dBt with Xo
= 1,
where Bt is a one-dimensional Brownian motion. Find the distribution of Xt for every
t > 0 as well as the limiting distribution of Xt as t→ ∞.
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Transcribed Image Text:4. Solve the following stochastic differential equation dxt = (3X+)dt +2dBt with Xo = 1, where Bt is a one-dimensional Brownian motion. Find the distribution of Xt for every t > 0 as well as the limiting distribution of Xt as t→ ∞.
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