Question: Assume that b(x, t, ω) is a nonnegative continuously differentiable function of x and t and that 1/b(x, t, ω) is an integrable function of x on every finite interval
(i) Use Itô's formula for the function f(x, t, ω) = R x 0 [b(s, t, ω)]-1 ds to show that the integral equation can be converted to an equation of the form y(t, ω) = y(0, ω) + R t 0 A(y, s, ω) dt + w(t, ω).
(ii) solve explicitly the equation dx = 