If
$dX(t) = a_1(t)dt + b_1(t)dW(t)$
$dY(t) = a_2(t)dt + b_2(t)dW(t)$
Can we say that
$d(X(t)+Y(t)) = (a_1(t)+a_2(t))dt + (b_1(t)+b_2(t))dW(t)$ ?
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I feel like it should. But I'll need some work on it. – Sean Roberson Nov 12 '18 at 18:27