Let the dynamics of the stochastic state variable S t be governed by the Ito process For
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Let the dynamics of the stochastic state variable St be governed by the Ito process
For a twice differentiable function f (St), the differential of f (St) is given by
Perform parts integration of the integral in (ii).
Transcribed Image Text:
dSt = μ(St, t) dt + o (St, t) dZt.
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