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Question: how to convert euler scheme or convert to SDE from this kind of ito formula

Question:how to convert euler scheme or convert to SDE from this kind of ito formula

ComputerUser 535
finance stochastic
June 20 2014
0

http://www.math.uni-frankfurt.de/~numerik/maplestoch/

read "D:/diffalg03/stochastic9";
Sigma := `<,>`(`<|>`(1.0, .5), `<|>`(.5, 1.0));
V := WienerProcess(Sigma);
Z := t -> exp(a*t+b*V(t)[1]+c*V(t)[2]);
drift1 := simplify(Drift(Z(t))/Z(t));
diffusion1 := simplify(Diffusion(Z(t))/Z(t));
with(stochastic);
linearsde(drift1, diffusion1[1][1]);
Euler(x[1],drift1,diffusion1[1][1]);

1.what are a, b, and c?

2. how to convert SDE for monte carlo for this ito formula?

3. how to convert to euler scheme with this ito formula

 
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