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April 14th, 2007, 11:39 AM   #1
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Joined: Dec 2006
From: New Jersey

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Stochastic Integrals

Stochastic Integrals

Question :

I need help trying to calculate stochastic integrals. Could someone please
help me with the critical steps for this integration for both simple and
complex problems? Thanks

Work Done:

X(t) = x + integral(0 to t)aX(s)ds + integral(0 to t) b X(s) dW(s)

X(t) = x + integral(0 to t) W(s) dW(s)

I can't seem to proceed from this point.

Thanks
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