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Mathematics, 30.07.2019 18:30 Likat681

Let s(t) be a positive stochastic process satisfying d s(t) = +mu(t)s(t) d t + sigma(t)s(t)d w(t) where mu(t), sigma(t) are processes adapted to filtration f(t) for t greaterthanorequalto 0 associated with the brownian motion w(t). compute d{(s(t))^p} for p > 0

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Let s(t) be a positive stochastic process satisfying d s(t) = +mu(t)s(t) d t + sigma(t)s(t)d w(t) wh...
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