Unformatted text preview: X ( t ) = x ∞ + e-at ( x-x ∞ ) + b Z t e-a ( t-s ) dW ( s ) , where a, b > are given constants. Compute the expected value and the variance of X ( t ) . Then compute their limits as t → ∞ . Interpret the results. 1...
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This note was uploaded on 12/14/2011 for the course MAD 5932 taught by Professor Gallivan during the Fall '06 term at FSU.
- Fall '06