I want to solve the stochastic differential equation $$\mathrm dX(t)=X(t)^2 \mathrm dt+X(t)\mathrm dB(t)$$ with condition $X(0)=1$.

  • $\begingroup$ Should this be on the math site or here? $\endgroup$
    – Peter Flom
    Jan 1 '14 at 14:35
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    $\begingroup$ @PeterFlom, the question asks about a stochastic differential equation (probability theory), so it's on-topic here (and also on math.SE). $\endgroup$
    – cardinal
    Jan 1 '14 at 14:54
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    $\begingroup$ Hint: Analyze $Y_t = e^{-B_t + \frac12 t} X_t$. $\endgroup$
    – cardinal
    Jan 1 '14 at 23:42
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    $\begingroup$ Also posted on MSE (also without explanations of any kind), where it got an (accepted) answer explaining two different approaches. This could be closed. $\endgroup$
    – Did
    Jan 2 '14 at 12:41
  • $\begingroup$ @Did hello, and this is slightly different to the math.se question, i think. But i agree prob should be closed. $\endgroup$
    – Lost1
    Jan 2 '14 at 13:06

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