Let S(t) be the price of dollar at time t, i.e. the number of euros per...

Let S(t) be the price of dollar at time t, i.e. the number of euros per dollar. The behavior of S(t) through time is modeled by ??(?) ?(?) = ??? + ???(?) for a standard Brownian motion and real value µ and σ > 0. Now, let ?(?) = 1 ?(?) be the exchange rate of euro against the dollar. Show that U(t) satisfies the following stochastic differential equation. ??(?) ?(?) = (?2 − ?)?? − ???(?) # please help me with this question in detail, in an organized way . And please do not simply copy other's solution#

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milcah answered 1 year ago

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