Let (left(B_{t}ight)_{t geqslant 0}) be a (mathrm{BM}^{1}). Find for each of the following processes an SDE which
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Let \(\left(B_{t}ight)_{t \geqslant 0}\) be a \(\mathrm{BM}^{1}\). Find for each of the following processes an SDE which is solved by it:
(a) \(U_{t}=\frac{B_{t}}{1+t}\);
(b) \(V_{t}=\sin B_{t}\);
(c)
Transcribed Image Text:
(x) = ( a cos Bt b sin Bt, a, b = 0.
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Related Book For
Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook
ISBN: 9783110741254
3rd Edition
Authors: René L. Schilling, Björn Böttcher
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