We are given
X(t) = X(0) e^[(α-.5σ^2)t + σZ(t) ]
why do they say that
dX/dt = (α-.5σ^2) X(t)
where does the X(t) come from?
(this is Example 18B in ASM Manual)
X(t) = X(0) e^[(α-.5σ^2)t + σZ(t) ]
why do they say that
dX/dt = (α-.5σ^2) X(t)
where does the X(t) come from?
(this is Example 18B in ASM Manual)
Ito's Lemma
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