Question: Consider the stochastic differential equation (SDE): dS = dSt St(udt + odWt), So = S, where and are constant drift and volatility, respectively, and

Consider the stochastic differential equation (SDE): dS = dSt St(udt + odWt), So = S, where and are constant drift and volatility, respectively, and {W}tzo denotes standard Brownian motion. Find the SDE (dY) for the following quantities. (a) Y = W; (b) Y = eat In St for some constant a > 0 (the dynamics of Y should not contain S).

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