where $t\in\mathbb{R_+}, X_0=a\in\mathbb{R}$ and $W=\{W_t\}_{t\ge0}$ is the standard Brownian motion.
I've tried exact SDE, linear SDE, and integrating factors but all failed.
where $t\in\mathbb{R_+}, X_0=a\in\mathbb{R}$ and $W=\{W_t\}_{t\ge0}$ is the standard Brownian motion.
I've tried exact SDE, linear SDE, and integrating factors but all failed.
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