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SDE solution

  1. Jun 12, 2014 #1
    SDE
    ##d_t=\frac{1}{2}\sigma(X_t)\sigma'(X_t)d_t+\sigma(X_t)dW_t##
    ##X_0=x_0##
    i) Let ##f(x)=\int^x_{x_0}\frac{dy}{\sigma(y)}##
    and show ##(f^{-1})',(f^{-1})''##.
    ii) Use i) and solve SDE.
     
    Last edited: Jun 12, 2014
  2. jcsd
  3. Jun 12, 2014 #2

    adjacent

    User Avatar
    Gold Member

    Use # # and # # around the latex code to render it(Remove the spaces)
    Examples, using # and #, ##F=ma##
    Using $ and $ , $$F=ma$$
     
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