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by lingo
March 5th, 2005, 8:52 am
Forum: Student Forum
Topic: ITO -The other way round
Replies: 3
Views: 157721

ITO -The other way round

You are right, my solution is wrong. I was not able to get to the original SDE using ITO.Who can help me out?
by lingo
March 3rd, 2005, 5:51 pm
Forum: Student Forum
Topic: ITO -The other way round
Replies: 3
Views: 157721

ITO -The other way round

Hello ,I have to express this SDE in terms of S:dSt=mu*dt+s*StdWtmu and s are constants, Wt~N(0,1). dSt some stockpriceprocess.I guess the solution is St=mu*t+exp(-s^2*t*1/2+sWt).Is this correct?Thank You