Homework Statement
How to solve this SDE?
dX_t = [1/X_t] dt + aX_t dB_t
Homework Equations
The Attempt at a Solution
If I didnt get it wrong, this is not a general linear SDE, and my course in elementary stochastic calcus did not cover SDEs other than the general linear ones...
Homework Statement
In a problem I was given a system of three differential equations concerning three functions, x(t), y(t) and z(t):
dx(t)=2y(t)dt,
dy(t)=[z(t)-x(t)]dt,
dz(t)=[c^2x(t)-2y(t)]dt. (where c is a constant)
The problem asked me to prove that when t is large, x(t)+z(t)...