Question:

3. Consider the stochastic differential equation (SDE) dX= tX+ dt + X{ dBť, Xo = 1. (a) Let Yt = ln Xt, compute the stochastic d

3. Consider the stochastic differential equation (SDE)
dX= tX+ dt + X{ dBť, Xo = 1.
(a) Let Yt = ln Xt, compute the stochastic differential dYt.
(b) Find a formula for Yt, hence solve the SDE for Xt.

3. Consider the stochastic differential equation (SDE) dX= tX+ dt + X{ dBť, Xo = 1. (a) Let Yt = ln Xt, compute the stochastic differential dYt. (b) Find a formula for Yt, hence solve the SDE for Xt.