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If I am given that $$dS_t=S_t(\mu dt+\sigma dZ_t)$$

How do I find the distribution of $S_t$ by using Ito's Lemma? Thanks in advance.

Mathxx
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    This is the stochastic differential equation for geometric brownian motion. Search online for something like "Ito's lemma geometric brownian motion". For instance, see SRKX's answer at https://quant.stackexchange.com/questions/1330/what-is-itos-lemma-used-for-in-quantitative-finance. – Minus One-Twelfth Jun 20 '19 at 08:34
  • Thanks for your help! @MinusOne-Twelfth – Mathxx Jun 20 '19 at 08:34

1 Answers1

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As a starting point, it might be worth applying Ito's Lemma to $d(ln(S_t))$ (which should give you $(\mu −\frac{1}{2}σ^2)dt + σdW_t$).

Ben Collister
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