Let W be a Brownian motion. Define the process X by X(t) :=t² cos(W(t)). Write X as an Itô process, i.e. X(t) = X(0) + / e(u)du + / A(u)dW(u), where you need to find X(0), e, and A.

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Let W be a Brownian motion. Define the process X by X(t) :=t² cos(W(t)). Write X as an
Itô
process, i.e.
t
X (t) = X(0) +
Ө(и) du +
| A(u)dW (u),
where you need to find X(0), O, and A.
Transcribed Image Text:Let W be a Brownian motion. Define the process X by X(t) :=t² cos(W(t)). Write X as an Itô process, i.e. t X (t) = X(0) + Ө(и) du + | A(u)dW (u), where you need to find X(0), O, and A.
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