Let $(W)_{t\ge0}$ and $(B)_{t\ge0}$ be independent Brownian motions.
Consider $X_t=\exp(-W_t)\left(x_0+\int_0^t\exp(W_s)dB_s\right)$.
Can anyone explain to me how to obtain
$dX_t=dB_t+X_t\left(\frac{1}{2}dt-dW_t\right)$
via Itô's formula?
2026-03-30 06:45:32.1774853132
Application of Itô's formula
77 Views Asked by Bumbble Comm https://math.techqa.club/user/bumbble-comm/detail AtRelated Questions in PROBABILITY
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