Hi all Can anyone please give me some guidance on the above? In particular, I'd like to solve the following (Ornstein-Uhlenbeck) process:
dX = -aXdt + (sigma)dW ; X(0) = a for X(t) by using Ito's formula or an integrating factor method so I can then calculate the mean and variance of X(t). Finally I'd like to to find the pde's that satisfy the transition density for the process. Thanks in advance S . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
