3614随机过程中等derivationmedium
OU Integrating-Factor Transform
题目
An OU process satisfies dX_t = 0.9(2 - X_t)dt + 1.1 dW_t. If Z_t = e^{0.9 t}(X_t - 2), what SDE does Z_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
An OU process satisfies dX_t = 0.9(2 - X_t)dt + 1.1 dW_t. If Z_t = e^{0.9 t}(X_t - 2), what SDE does Z_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。