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Thomas Kojar
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OneHere we are assuming that by white noise $W(r)$ the OP meant

$$W(r)=\frac{dB_{r}}{dr}.$$

If meant something different, please comment below.

Then one interpretation can be done by letting $X=\frac{dT}{dt}$ and so the Itô formulation is $$dX=(t-A)(t-B)dt+(t-A)(t-B)dB_{t},$$ which is a linear SDE.

So we have

$$X_{t}=X_{0}+\int^{t}(s-A)(s-B)ds+\int^{t} (s-A)(s-B)dB_{s}$$

and thus

$$T_{t}=X_{0}t+\int^{t}(s-A)(s-B)ds+\int\int^{t} (s-A)(s-B)dB_{s}dt.$$$$T_{x}=X_{0}t+\int^{x}\int^{t}(s-A)(s-B)dsdt+\int^{x}\int^{t} (s-A)(s-B)dB_{s}dt.$$

One interpretation can be by letting $X=\frac{dT}{dt}$ and so the Itô formulation is $$dX=(t-A)(t-B)dt+(t-A)(t-B)dB_{t},$$ which is a linear SDE.

So we have

$$X_{t}=X_{0}+\int^{t}(s-A)(s-B)ds+\int^{t} (s-A)(s-B)dB_{s}$$

and thus

$$T_{t}=X_{0}t+\int^{t}(s-A)(s-B)ds+\int\int^{t} (s-A)(s-B)dB_{s}dt.$$

Here we are assuming that by white noise $W(r)$ the OP meant

$$W(r)=\frac{dB_{r}}{dr}.$$

If meant something different, please comment below.

Then one interpretation can be done by letting $X=\frac{dT}{dt}$ and so the Itô formulation is $$dX=(t-A)(t-B)dt+(t-A)(t-B)dB_{t},$$ which is a linear SDE.

So we have

$$X_{t}=X_{0}+\int^{t}(s-A)(s-B)ds+\int^{t} (s-A)(s-B)dB_{s}$$

and thus

$$T_{x}=X_{0}t+\int^{x}\int^{t}(s-A)(s-B)dsdt+\int^{x}\int^{t} (s-A)(s-B)dB_{s}dt.$$

Source Link
Thomas Kojar
  • 5.5k
  • 2
  • 19
  • 41

One interpretation can be by letting $X=\frac{dT}{dt}$ and so the Itô formulation is $$dX=(t-A)(t-B)dt+(t-A)(t-B)dB_{t},$$ which is a linear SDE.

So we have

$$X_{t}=X_{0}+\int^{t}(s-A)(s-B)ds+\int^{t} (s-A)(s-B)dB_{s}$$

and thus

$$T_{t}=X_{0}t+\int^{t}(s-A)(s-B)ds+\int\int^{t} (s-A)(s-B)dB_{s}dt.$$