We consider the It process -La- X = (1 2s) dB, t0. (a) Find the mean...

 

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We consider the It process -La- X = (1 2s) dB, t0. (a) Find the mean and the variance of X, at all t. (b) Use It's product rule to show that (1-2s)B, dB + +x, dB + (1-2) XB = -La- 0 (1-2s) ds. We consider the It process -La- X = (1 2s) dB, t0. (a) Find the mean and the variance of X, at all t. (b) Use It's product rule to show that (1-2s)B, dB + +x, dB + (1-2) XB = -La- 0 (1-2s) ds.