# Differentiate the following functions with respect to the Wiener process Wt and, if applicable, with respect to t. (a) f(Wt) = W2t (b) f(Wt) = Wt (c) f(Wt) = e(W2t) (d) f(Wt, t) = e(Wt1/2 2t)

Differentiate the following functions with respect to the Wiener process Wt and, if applicable, with respect to t.

(a) f(Wt) = W2t

(b) f(Wt) = √Wt

(c) f(Wt) = e(W2t)

(d) f(Wt, t) = e(σWt−1/2 σ2t)

(a) f(Wt) = W2t

(b) f(Wt) = √Wt

(c) f(Wt) = e(W2t)

(d) f(Wt, t) = e(σWt−1/2 σ2t)

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## Differentiate the following functions by Itos lemma a fW t W 2 t dfW t 2W t dW t …View the full answer

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