3578随机过程中等derivationmedium
Ito Dynamics of X_t^2 for a Reciprocal-Drift Diffusion
题目
A diffusion satisfies dX_t = (1/X_t) dt + dW_t. What is d(X_t^2)?
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你的答案
Drift coefficient (coefficient of dt)
Diffusion coefficient (coefficient of dW_t)