c. Describe how we construct a solution to a general stochastic differential equation dX (X4)dt +0(X4)dW where X = Xo E R and u and o are sufficiently well behaved for a unique strong solution to exist, using the Picard iteration method (proof of convergence to a solution not required). Compute the SDE for cosh Xt (you may leave the answer expressed in terms of Xt and you may use that d cosh x = sinh x and sinh x = cosh x.) [25%] d. Consider the following SDE dXt b Xt dt + dW7 T-t with Xo = 0 and Xt E R for all t 0. [25%] c. Describe how we construct a solution to a general stochastic differential equation dX (X4)dt +0(X4)dW where X = Xo E R and u and o are sufficiently well behaved for a unique strong solution to exist, using the Picard iteration method (proof of convergence to a solution not required). Compute the SDE for cosh Xt (you may leave the answer expressed in terms of Xt and you may use that d cosh x = sinh x and sinh x = cosh x.) [25%] d. Consider the following SDE dXt b Xt dt + dW7 T-t with Xo = 0 and Xt E R for all t 0. [25%]