Question: Exercise 1.13 Suppose that the variable x = x(t, z) at time t satisfies where (dz) 2 = dt. Let y = e xt .

Exercise 1.13 Suppose that the variable x = x(t, z) at time t satisfies

dx = dt + dz,

where (dz)2 = dt. Let y = ex−μt. Applying Ito’s formula, obtain the equation for dy.

dx = dt + dz,

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