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Unformatted text preview: dX t = aX t dt + bX t dW t ; where a < and b > are constants. Exercise 2 Solve the exercise 3.17 from the lecture notes [GMS + 06] References [GMS + 06] J. Goodman, K.S. Moon, A. Szepessy, R. Tempone, and Z. Zouraris. Stochastic and Partial Diﬀerential Equations with Adapted Numerics. Lecture Notes , 2006. 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