could you post the paper?

2# Enthuse
原文见附件

z是标准布朗运动么？

3# zhangpeng95

Thanks for posting the paper.

The trick is to find the integrating factor. But first you need to change the variable from t to \tau.

the SDE can be rewritten as:

dX(\tau) - \frac{\mu X}{ \tau} d \tau = - \gamma dz(\tau)

Multiply both sides by the integrating factor:

\tau ^{ - \mu }


The LHS now becomes exact differential form and you are done.

Good luck with the paper.

我没有系统得学过随机微分方程，不过我觉得可能可以这么做，先用Girsanov’s Theorem把dt前面的那些东西弄掉，然后再积分，这是金融学中常用的处理方法。。。电脑快没电了。。。有空我试试看。。。