Question: Exercise 14.3.4 Consider the Ito process U (Y+ Z)/2, where dY/Y = a dt + bdW and dZ/Z= f dt +g dW. Processes Y

Exercise 14.3.4 Consider the Ito process U ≡ (Y+ Z)/2, where dY/Y = a dt +

bdW and dZ/Z= f dt +g dW. Processes Y and Z share the Wiener process W.

Derive the stochastic differential equation for dU/U.

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