00:01
In the given question, we have given ds equals to mu s dt plus sigma s dz.
00:07
So, in part a, we have given y equals to 2s.
00:11
We will find del y by del s which is equals to 2, del y square by del s square which is equals to 0 and del y by del t equals to 0.
00:20
So, i told lemma gives, we have dy equals to 2 mu s dt plus 2 sigma s dz.
00:36
This is in terms of s.
00:42
Or we have dy equals to mu y dt plus sigma y dz.
00:50
This is in term of y.
00:56
Now, in the part b, we have y equals to s square.
01:00
We will find del y by del s equals to 2s.
01:03
Del y, del square y by del s square equals to 2.
01:07
And we have del y by del t equals to 0.
01:12
So, according to ito's lemma gives, dy equals to 2 mu s square plus sigma square s square dt plus 2 sigma s square dz...