Question: Let {W(t) : t 0} be a standard Brownian motion. The stock price of a certain stock S(t) follows the stochastic differential equation at time

Let {W(t) : t 0} be a standard Brownian motion. The stock price of a certain stock S(t) follows the stochastic differential equation at time t is dS(t) S(t) = dt + dW(t) Use Itos lemma to derive the stochastic differential equation for f(S, t) = t S(t).

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