If $X_t= e^{W_t}g(t)$ where $W_t$ is an Wiener process and $g(t)\in C^2[0,\infty)$, could any one tell me what is the formula to calculate $dX_t$? Thanks so much.
what about if $Y_t= \sqrt{X_t}$?, the same formuale to find $dY_t$?
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1use Ito's formula with the formula $f(x,t) =g(t) e^{x}.$ – UBM Dec 09 '20 at 17:17
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Thanks done............ – Myshkin Dec 09 '20 at 17:18
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what about if $Y_t= \sqrt{X_t}$?, the same formuale to find $dY_t$? – Myshkin Dec 09 '20 at 17:18
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I mean what will be $f(x,t)$ In this case? – Myshkin Dec 09 '20 at 17:20
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$f(x)=\sqrt{x}.$ – UBM Dec 09 '20 at 17:44
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Thanksssssssssssssss – Myshkin Dec 09 '20 at 17:52