April 25th, 2004, 8:31 pm
hii need to solve the following system of sde's: dx(t) = k*[y(t) - x(t)]dt + v*dW1(t) dy(t) = a*[b - x(t)]dt + w*dW2(t)where k, v, a, and w are constants, and W1() and W2() are standard BM's. I can figure out the second one, but i'm having a lot of trouble solving the first one. i'd greatly appreciate any help.thanks