question archive Solve the linear stochastic equation dx = −γx dt + gx dW, by changing variables to y = ln x
Solve the linear stochastic equation dx = −γx dt + gx dW, by changing variables to y = ln x
Subject:StatisticsPrice: Bought3
Solve the linear stochastic equation
dx = −γx dt + gx dW,
by changing variables to y = ln x. Then calculate the probability density for the solution x(t).
