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Stochastic Differential Equation

  1. May 13, 2010 #1
    1. The problem statement, all variables and given/known data

    How to solve this SDE?

    dX_t = [1/X_t] dt + aX_t dB_t

    2. Relevant equations



    3. 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. Thanks for the help!
     
  2. jcsd
  3. May 13, 2010 #2

    gabbagabbahey

    User Avatar
    Homework Helper
    Gold Member

    It definitely looks non-linear, but it might be reducible into a linear SDE.
     
  4. May 13, 2010 #3
    Try the substitution

    [tex]
    Z_{t} = X^{2}_{t}
    [/tex]
     
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