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发帖数: 286 | 1 ☆─────────────────────────────────────☆
KuangTer (KuangTer=Quant) 于 (Sun Apr 15 16:26:33 2007) 提到:
We know:
X(t) = 1 + I[sigma*(X(s)^0.5)]dW(s) + bt, and tao = inf{t: X(t)=0}
Sorry, I can't type integral notation, so I use the "I[f(s)]dW(s)" in the
formula to denote Ito integral for function f(s) from 0 to t.
Question is:
Give necessary and sufficient conditions on sigma and b>0, such that P{tao<
infinite}>0
Can anyone help to calculate it, thank you!
My answer is 0<2b/(sigma^2)<1, is it ri |
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