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  • To: mathgroup at
  • Subject: [mg25930] SDE's
  • From: mot4201 at
  • Date: Thu, 9 Nov 2000 03:04:27 -0500 (EST)
  • Sender: owner-wri-mathgroup at

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.


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