K******r
发帖数: 152 | 1 Let x(t,W) satisfies the following SDE:
dx = a(t,x)dt + b(t,x)dW
where W is standard brownian motion.
If G(t,x) = int(0,t)[x(s,W)]ds
int(0,t) denotes the integral from time 0 to time t.
Then what is the SDE for G(t,x) using Ito's Lemma?
Thank you! | Q***5
发帖数: 994 | 2 It seems just a definition
dG = xdt |
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