Is there anyone know how to do the integral,
How to get the expectation from dWu?
i.e. how to derive sigma^2/4a*(1-exp(-2a(t-s)))
Thank you~
How to get the expectation from dWu?
i.e. how to derive sigma^2/4a*(1-exp(-2a(t-s)))
Thank you~
IRM page71 formula 3.30-3.31
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