Let X(t) = (bX(t) + c)dt + 2p
X(t)dW(s). Suppose X(t) > 0 for all t 0.
Find the law of motion of Y (t) = p
X(t). Express the stochastic di§erential
equation in terms of Y (t) instead of X(t)
Let X(t) = (bX(t) + c)dt + 2p
X(t)dW(s). Suppose X(t) > 0 for all t 0.
Find the law of motion of Y (t) = p
X(t). Express the stochastic di§erential
equation in terms of Y (t) instead of X(t)
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