Does the following SDE have a solution:
$$ dX_t = \frac{dt}{X_t}+W_t $$
where $W_t$ is a Brownian Motion, with initial state $X_0$?
I have tried applying Ito's lemma to $X_t^2$:
$$ dX_t^2 = 3dt + 2X_tdW_t $$
But I am again blocked.
Does the following SDE have a solution:
$$ dX_t = \frac{dt}{X_t}+W_t $$
where $W_t$ is a Brownian Motion, with initial state $X_0$?
I have tried applying Ito's lemma to $X_t^2$:
$$ dX_t^2 = 3dt + 2X_tdW_t $$
But I am again blocked.
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