Question: Show all work Problem 5 (10 pt). Consider the stochastic process Xt which satisfies the stochastic differential equation dX1 = 0 (u - X.) dt

Show all work

Problem 5 (10 pt). Consider the stochastic process Xt which satisfies the stochastic differential equation dX1 = 0 (u - X.) dt + odB where 0, u, and o are constants and B, is the usual Brownian motion process. Consider the stochastic process Y define as Yt = X2. Apply Ito's rule to derive the stochastic differential equation followed by the process Yt

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