Question: my problem is related to advance statistics (stochastic analysis) 3. Compute the generators of the processes X e Yt, solutions of the corresponding sde's: a)

 my problem is related to advance statistics (stochastic analysis) 3. Compute

my problem is related to advance statistics (stochastic analysis)

3. Compute the generators of the processes X e Yt, solutions of the corresponding sde's: a) X = (X, X2), where dX(t) = b(X(t))dt + X(t)dW e dX2(t) = b(X(t))dt + X(t)dWt. b) Y = (Y, Y), where dY(t) = b(Y(t))dt+Y(t)dW, dY(t) = b (Y(t))dt+Y(t)dW?, (W, W2) is a Brownian motion in R. We assume 6, 6 to be bounded Lipschitz functions. 4. Consider the sde in R2 given by dz=r Zidt+oZ/ dw, dz? = r2Z?dt + 0ZdW? where ri, oi, i = 1, 2 are constants. Which sde's satisfy the processes ZZ and ZZ? ? 3. Compute the generators of the processes X e Yt, solutions of the corresponding sde's: a) X = (X, X2), where dX(t) = b(X(t))dt + X(t)dW e dX2(t) = b(X(t))dt + X(t)dWt. b) Y = (Y, Y), where dY(t) = b(Y(t))dt+Y(t)dW, dY(t) = b (Y(t))dt+Y(t)dW?, (W, W2) is a Brownian motion in R. We assume 6, 6 to be bounded Lipschitz functions. 4. Consider the sde in R2 given by dz=r Zidt+oZ/ dw, dz? = r2Z?dt + 0ZdW? where ri, oi, i = 1, 2 are constants. Which sde's satisfy the processes ZZ and ZZ

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!