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[Edit] My "answer" below is not a really an answer for I have completely misinterpreted your original question. I thought you asked about the covariance of 2 processes over a given time horizon (i.e. for a fixed $\omega$) and not the covariance of two random variables (fixed $t$). Also note that $\text{cov}(x,y)=0$ does not mean that $x$ and $y$ are ...


1

Hint: By Integration, we have $$x_t=x_{0}+\int_{0}^{t} \alpha_1(x_s,s)ds+\int_{0}^{t} \beta_1(x_s,s)dW_1(s)$$ $$y_t=y_{0}+\int_{0}^{t} \alpha_2(y_s,s)ds+\int_{0}^{t} \beta_2(y_s,s)dW_2(s)$$ then $$E[x_t]=x_0+E\left[\int_{0}^{t} \alpha_1(x_s,s)ds\right]$$ $$E[y_t]=y_0+E\left[\int_{0}^{t} \alpha_2(y_s,s)ds\right]$$ Now we apply Ito's lemma $$d(x_ty_t)=...



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