Question: 7. Consider the Ito equation dx = dw1 dy = dw2 dz = xdw2 - ydw1 Show that a Ez2 ( t ) = E

7. Consider the Ito equation dx = dw1 dy = dw2 dz = xdw2 - ydw1 Show that a Ez2 ( t ) = E (22 (t) + y2 (t) ) = 2t dt and that d Ez 2 ( t) (2 2 ( t ) + y? ( t ) ) = E (2 2 ( t ) + 2 2 ( t ) ) 2 + E x2 ( t ) dt

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