What is the mean and the variance of $y_t$, given the following SDE:
$dy_t = -x_t y_t dt + \sigma_1 dW^1_t$
$dx_t = -\sigma_2 y_t dW^2_t$
$W^1$ and $W^2$ are (possibly correlated) Wiener processes.
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$\begingroup$ Call the correlation of the two Wiener processes $\rho$. $\endgroup$– Posch79Commented Dec 27, 2016 at 21:27
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