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Results tagged with geometric-brownian
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user 44871
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Deriving Law of Motion by Ito's Lemma
Since the process $e^{-\mu t}$ is continuously differntiable, then it has finite variation. Thus, Ito's lemma essentially implies the 'normal' product rule:
\begin{align}
dU_t &= d(S_te^{-\mu t}) \\
& …
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