Calculate the solution to the following SDE: [d X_{t}=alphaleft(m-X_{t} ight) d t+sigma d B_{t}] with (X_{0}=x). The
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Calculate the solution to the following SDE:
\[d X_{t}=\alpha\left(m-X_{t}\right) d t+\sigma d B_{t}\]
with \(X_{0}=x\). The process satisfying this equation is called the meanreverting Ørnstein-Uhlenbeck process.
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Quantitative Finance
ISBN: 9781118629956
1st Edition
Authors: Maria Cristina Mariani, Ionut Florescu
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