Consider a stochastic process described by the stochastic differential equation , where drift and volatility are piecewise constant functions of time (measured in years) For the first three years, and for the next three years, and If the initial value of the process is , what is the probability distribution of the value of the process at the end of the six year period d St Ht dt dWt

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Question: Consider a stochastic process described by the stochastic differential equation , where drift and volatility are piecewise constant functions of time (measured in years). For

Consider a stochastic process described by the stochastic differential equation d.St Ht dt + dWt- , where drift and volatility are piecewise constant functions of time (measured in years). For the first three years, image text in transcribed and for the next three years,

image text in transcribed and. If the initial value of the process is, what is the probability distribution of the value of the process at the end of the six-year period?

d.St Ht dt + dWt-

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