Question: 6. Consider the stochastic differential equation dx = -xdt + dw + udt; x(t) =0 Suppose we set u = -kx. What value of k

6. Consider the stochastic differential equation dx = -xdt + dw

6. Consider the stochastic differential equation dx = -xdt + dw + udt; x(t) =0 Suppose we set u = -kx. What value of k minimizes lim E (x2 (t) + u2 (t) ) 1-+00

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