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Easy question on stochastic process

  1. Dec 4, 2008 #1
    Suppose that A and B follow geometric brownian motion, where zA, and zB follow wiener process
    dA/A=a*dt+b*dzA
    dB/B=c*dt+d*dzB
    dzA*dzB=e*dt
    What stochastic process does A/B follow?

    This is not a homework question(I am sure it's almost trivially easy to those who learned the stuff). I am very new to the stuff and would anyone be kind enough to show me the result and derivation?

    I have browsed through textbooks yet none of them have a similar example.
     
  2. jcsd
  3. Dec 5, 2008 #2
    Try looking up Ito's Formula.
     
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