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March 9th, 2017, 10:51 AM   #1
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PDE for a brownian motion

1. By direct differentiation, prove the partial differential equation of he Brownian motion with a mean of y − a(T − t) and variance b(T − t).

2. By direct differentiation, prove the the partial differential equation of the Brownian motion with a mean of y and variance b(T − t).

Please share the solution with mattmaiyoh@gmail.com.

Last edited by skipjack; March 9th, 2017 at 11:01 AM.
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March 9th, 2017, 11:00 AM   #2
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