作业帮伊藤引理相关问题求解.ITO LEMMA..
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伊藤引理相关问题求解.ITO LEMMA..
Use Itˆo’s Lemma to write the following stochastic processes Xt on the stan- dard form
dXt = u(t,Bt)dt+v(t,Bt)dBt,for suitable choices of functions u and v:
1.Xt = Bt2,where Bt is standard Brownian motion.
2.Xt = 2 + t + exp (Bt ),where Bt is standard Brownian motion.
Use Itˆo’s Lemma to write the following stochastic processes Xt on the stan- dard form
dXt = u(t,Bt)dt+v(t,Bt)dBt,for suitable choices of functions u and v:
1.Xt = Bt2,where Bt is standard Brownian motion.
2.Xt = 2 + t + exp (Bt ),where Bt is standard Brownian motion.
