- #1
operationsres
- 103
- 0
Why does:
[itex] \int_0^t d(e^{-us} X(s)) = \sigma \int_0^t e^{-us} dB(s)[/itex]
for stochastic process [itex]X(t)[/itex] and Wiener process [itex]B(t)[/itex]?
Also, why is the following true:
[itex] \int_0^t d(e^{-us} X(s)) = e^{-ut}X(t) - X(0)[/itex]
[itex] \int_0^t d(e^{-us} X(s)) = \sigma \int_0^t e^{-us} dB(s)[/itex]
for stochastic process [itex]X(t)[/itex] and Wiener process [itex]B(t)[/itex]?
Also, why is the following true:
[itex] \int_0^t d(e^{-us} X(s)) = e^{-ut}X(t) - X(0)[/itex]