Hi,
I just try to assign Y=sqrt(X) and use Ito lemma to solve the problem. so
dY= 1/2 dB+ 1/(4Y) dt.
Obviously, we cannot put Y one left side. So the substitution is failed.
ANy one can show me how to find a good substitution or show me it is impossible to solve the problem ?
But for...
Hi,
Could some one help me to solve the equations ?
dX =sqrt(X) dB
where X is a process; B is a Brownian motion with B(0,w) =0;sqrt(X) is squart root of X.