SDE derivations: whether to sub Ft back in

Discussion in 'CM2' started by Furiously_treading_water, Feb 22, 2019.

  1. Furiously_treading_water

    Furiously_treading_water Active Member

    From previous experience, I've found that when you are asked to derive a SDE (f(Xt), for example), you don't leave it in terms of Xt: you substitute Ft back into the equation.

    However, I've done X2 recently and the solutions have adopted 2 different approaches here:
    • Q2.3iii) leaves dGt in terms of Xt
    • Q2.5iii) substitutes Xt=1/Gt to put dGt in terms of Gt
    Is there any particular reason to choose one or the other that I should look out for?
     

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