Concept explainers
Use Ito’s formula to show that the solutions of the SDE initial value problems
a.
To show: The SDE
Explanation of Solution
Given information:
The initial conditions that are given are,
Calculation:
As it’s known that by apply Ito's Formula to given equation shown below.
Note that
Therefore,using Ito's Formula gives, the following step below.
By using initial conditions:
b.
To show: The SDE
Explanation of Solution
Given information:
The initial conditions that are given are,
Calculation:
As it’s known that by apply Ito's Formula
and the partial derivatives of
By using initial conditions.
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Chapter 9 Solutions
Numerical Analysis
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