3577随机过程中等derivationmedium
Integrating Factor That Linearizes an Affine Diffusion
题目
A diffusion satisfies dX_t = (2X_t + 1) dt + 3 dW_t. Define Y_t = e^{-2t}(X_t + 1/2). What SDE does Y_t satisfy?
解题计时
0:00
提交作答时记录，用于后续平均用时统计。
题目
A diffusion satisfies dX_t = (2X_t + 1) dt + 3 dW_t. Define Y_t = e^{-2t}(X_t + 1/2). What SDE does Y_t satisfy?
解题计时
0:00
提交作答时记录，用于后续平均用时统计。