Question: Solve the stochastic differential equation X(t) dX (t) = - dt + dB(t), 1+t 1+t assuming a solution of the form X(t) = g(t, B(t)),

Solve the stochastic differential equation X(t) dX (t) = - dt + dB(t), 1+t 1+t assuming a solution of the form X(t) = g(t, B(t)), where g () is a C2 function

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