- #1
spitz
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Homework Statement
I'm trying to figure out how to use Ito's Lemma, but all I have are notes and proofs. It would help if someone could go through one actual example with me:
Use Ito's Lemma to solve the stochastic differential equation:
[tex]X_t=2+\int_{0}^{t}(15-9X_s)ds+7\int_{0}^{t}dB_s[/tex]
and find:
[tex]E(X_t)[/tex]