If
$dX(t) = a_1(t)dt + b_1(t)dW(t)$
$dY(t) = a_2(t)dt + b_2(t)dW(t)$
Can we say that
$d(X(t)+Y(t)) = (a_1(t)+a_2(t))dt + (b_1(t)+b_2(t))dW(t)$ ?
2026-03-16 19:44:16.1773690256
linearity of stochastic differential equations
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