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ITO -The other way round
Posted: March 3rd, 2005, 5:51 pm
by lingo
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
ITO -The other way round
Posted: March 3rd, 2005, 10:36 pm
by taotaol
hi, it seems that your solution is not right. you can use ito's formula to check it directly.
ITO -The other way round
Posted: March 3rd, 2005, 10:43 pm
by taotaol
suppose X_t = log(S_t), the best form i get for the process of X_t isdX_t = (mu/exp(X_t) - s^2/2)dt + sdW_tI don't know how to solve this eq yet.
ITO -The other way round
Posted: March 5th, 2005, 8:52 am
by lingo
You are right, my solution is wrong. I was not able to get to the original SDE using ITO.Who can help me out?