SDE's
- To: mathgroup at smc.vnet.net
- Subject: [mg25930] SDE's
- From: mot4201 at my-deja.com
- Date: Thu, 9 Nov 2000 03:04:27 -0500 (EST)
- Sender: owner-wri-mathgroup at wolfram.com
Hi all, I was wondering if anyone could share his (her) code for the exact solutions of the following SDE's 1. dXt=a dt+b dWt 2. dXt=a(c-Xt)dt+b dWt 3. dXt/Xt=mu dt+sigma dWt 4. dXt=a(((sigma^2)/4a)-Xt)dt+sigma sqrt(Xt) dWt If you could at least share the exact solutions , I would do the simulations my self. Thank you. Mark Sent via Deja.com http://www.deja.com/ Before you buy.