What is the general expression for the covariance $cov \left[ X_s X_t \right]$ of a stochastic process given by \begin{equation} dX_t = f(X_t,t)dt + g(X_t,t) dW_t \end{equation} for some general (sufficiently well-behaved) functions $f$ and $g$?
2026-03-29 02:31:23.1774751483
Covariance of Stochastic Differential Equation
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