Let (left(B_{t}ight)_{t geqslant 0}) be a (mathrm{BM}^{1}). Solve the following SDEs a) (d X_{t}=b d t+sigma X_{t}

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Let \(\left(B_{t}ight)_{t \geqslant 0}\) be a \(\mathrm{BM}^{1}\). Solve the following SDEs

a) \(d X_{t}=b d t+\sigma X_{t} d B_{t}, X_{0}=x_{0}\) and \

(b, \sigma \in \mathbb{R}\);

b) \(d X_{t}=\left(m-X_{t}ight) d t+\sigma d B_{t}, X_{0}=x_{0}\) and \(m, \sigma>0\).

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Rishiraj singh rathore

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