Questions tagged [motion]

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Ito formula for $Y_t=tB_t$

someone can help me to solve this problem: $B_t$ is a Standard Brownian Motion. Let $Y_t=tB_t$. Using Ito formula, find drift and volatility of $Y_t$. The result I found is $dY_t=B_tdt+t\cdot dB_t$ ...
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SDE Parameter Estimation

Have a question about "How to estimate parameters for SDE with multiple Brownian Motions ?" Let's say $X_t$ follows the process: $dX_t=\mu dt+\sigma_1 dW_t^1 + \sigma_2 dW_t^2 $ I think I've checked ...