1. 

   SABeauty Member

   Hi
   
   When we are asked to solve this SDE can we use 2 methods?
   
   - integrating approach
   - set Yt = exp(alphat)(Rt - b)
   
   And use Ito?

    

   SABeauty, Oct 2, 2012

   #1
2. 

   Mike Lewry Member

   Yes, they're equivalent - both basically using the integrating factor exp(gamma.t)

    

   Mike Lewry, Oct 4, 2012

   #2

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