Define stochastic differential equation with an expression
Define the stochastic differential equation with an expression?
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Let us assume that we have a random variable y evolving as per to a rather general, a factor stochastic differential equation
dy = A(y, t) dt + B(y, t) dX.
There A and B are arbitrary functions both of y and t. Several common models can be written in such form, as well as the lognormal asset random walk and common spot interest rate models.
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