Linear Algebra: A Modern Introduction
Linear Algebra: A Modern Introduction
4th Edition
ISBN: 9781285463247
Author: David Poole
Publisher: Cengage Learning
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please solve problem 4. Thank you

Problem 2. Feynman-Kac application
We consider the stochastic process (X+) t20 given by X₁ = et, where (W+) is a Brownian
motion.
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Transcribed Image Text:Problem 2. Feynman-Kac application We consider the stochastic process (X+) t20 given by X₁ = et, where (W+) is a Brownian motion.
Let (W)20 and (B) to be two independent Brownian motions. We modify the system
in Problem 2 to become
1
——½X₁ dt − Y₁ dW₁ + a X₁ dBt,
-
-
dXt =
dYt
=
-
Y₁ dt +X+dW₁+aY₁ dBt,
with Xo = 1, Yo = 0 and a Є R.
(a) Determine the stochastic differential equation satisfied by the processes (Rt) and
(et).
(b) Solve the differential equations provided in (a) for Rt.
(c) Determine lim E[R] as a function of a.
0047
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Transcribed Image Text:Let (W)20 and (B) to be two independent Brownian motions. We modify the system in Problem 2 to become 1 ——½X₁ dt − Y₁ dW₁ + a X₁ dBt, - - dXt = dYt = - Y₁ dt +X+dW₁+aY₁ dBt, with Xo = 1, Yo = 0 and a Є R. (a) Determine the stochastic differential equation satisfied by the processes (Rt) and (et). (b) Solve the differential equations provided in (a) for Rt. (c) Determine lim E[R] as a function of a. 0047
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Linear Algebra: A Modern Introduction
Algebra
ISBN:9781285463247
Author:David Poole
Publisher:Cengage Learning