Problem 1 Assume that X is a stochastic process given by dX, = b(t, )dt + aft, X:)dWwith W being a standard Brownian motion. Calculate df(t, Xe) for the following cases: 1. f(t, x) = 1, aft,w) = t, b(t, x) = 3 for any t, t. 2. f(t, x) = In(x), alt, x) = 24, b(t, x) = 3x 3. f(t, x) = e="[T-t, alt, x) = 27, b(t, x) = 3c where T and r are constants. Problem 1 Assume that X is a stochastic process given by dX, = b(t, )dt + aft, X:)dWwith W being a standard Brownian motion. Calculate df(t, Xe) for the following cases: 1. f(t, x) = 1, aft,w) = t, b(t, x) = 3 for any t, t. 2. f(t, x) = In(x), alt, x) = 24, b(t, x) = 3x 3. f(t, x) = e="[T-t, alt, x) = 27, b(t, x) = 3c where T and r are constants