Question: Hi, can u help with these questions ? 1. Find the mean and variance of Xt if (a) dXt = udt + odWt. (b )

Hi, can u help with these questions ?

1. Find the mean and variance of Xt if (a) dXt = udt + odWt. (b ) dXt = uXtdt + oXtdWt. (c) dXt = k(0 - Xt) dt + odWt. 2. Consider the two stochastic differential equations below: dXt = rXtdt + oXtdWt dYt = rytdt + o YtdWt Use Ito's formula to derive the stochastic differential equation for Zt = Mt, is (a) Wt and Wt are independent. (b) Wt and Wt have a correlation of 1. (c) Wt and Wt have a correlation of p

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