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blueshard (blue) 于 (Thu Jul 13 10:37:16 2006) 提到:
1. Solve dy_t = dt + y dw_t
2. What is dw_t/dw_s (the derivative of w_t with respect to w_s)?
w_t is the SBM in both problems.
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button (button) 于 (Thu Jul 13 12:04:03 2006) 提到:
1. by ito formula
y_t=\int_0^t{e^{0.5s-W_s}ds}e^{-0.5t+W_t}
2. don't understand your problem. These two are independent.
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yhht (xxdd) 于 (T
