linearity of stochastic differential equations











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1
down vote

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If



$dX(t) = a_1(t)dt + b_1(t)dW(t)$



$dY(t) = a_2(t)dt + b_2(t)dW(t)$



Can we say that



$d(X(t)+Y(t)) = (a_1(t)+a_2(t))dt + (b_1(t)+b_2(t))dW(t)$ ?






stochastic-calculus







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  • I feel like it should. But I'll need some work on it.
    – Sean Roberson
    11 hours ago















up vote
1
down vote

favorite
1












If



$dX(t) = a_1(t)dt + b_1(t)dW(t)$



$dY(t) = a_2(t)dt + b_2(t)dW(t)$



Can we say that



$d(X(t)+Y(t)) = (a_1(t)+a_2(t))dt + (b_1(t)+b_2(t))dW(t)$ ?






stochastic-calculus







share|cite|improve this question






















  • I feel like it should. But I'll need some work on it.
    – Sean Roberson
    11 hours ago













up vote
1
down vote

favorite
1









up vote
1
down vote

favorite
1






1





If



$dX(t) = a_1(t)dt + b_1(t)dW(t)$



$dY(t) = a_2(t)dt + b_2(t)dW(t)$



Can we say that



$d(X(t)+Y(t)) = (a_1(t)+a_2(t))dt + (b_1(t)+b_2(t))dW(t)$ ?






stochastic-calculus







share|cite|improve this question













If



$dX(t) = a_1(t)dt + b_1(t)dW(t)$



$dY(t) = a_2(t)dt + b_2(t)dW(t)$



Can we say that



$d(X(t)+Y(t)) = (a_1(t)+a_2(t))dt + (b_1(t)+b_2(t))dW(t)$ ?






stochastic-calculus




stochastic-calculus






share|cite|improve this question













share|cite|improve this question











share|cite|improve this question




share|cite|improve this question










asked 14 hours ago









Markoff Chainz

523312




523312












  • I feel like it should. But I'll need some work on it.
    – Sean Roberson
    11 hours ago


















  • I feel like it should. But I'll need some work on it.
    – Sean Roberson
    11 hours ago
















I feel like it should. But I'll need some work on it.
– Sean Roberson
11 hours ago




I feel like it should. But I'll need some work on it.
– Sean Roberson
11 hours ago















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