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March 9th, 2017, 09:51 AM  #1 
Newbie Joined: Mar 2017 From: Nairobi Posts: 4 Thanks: 0  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 10:01 AM. 
March 9th, 2017, 10:00 AM  #2 
Global Moderator Joined: Dec 2006 Posts: 18,053 Thanks: 1395 
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