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Problems and Solutions in Mathematical Finance: Stochastic Calculus, Volume I by Eric Chin, Sverrir Olafsson, Dian Nel

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Appendix C

Differential Equations Formulae

Separable Equations

The form

equation

has a solution

equation

If c0C-math-001 is a linear equation and if c0C-math-002 and c0C-math-003 are two solutions, then c0C-math-004 is also a solution for constant c0C-math-005 and c0C-math-006.

First-Order Ordinary Differential Equations

General Linear Equation: The general form of a first-order ordinary differential equation

equation

has a solution

equation

where c0C-math-007 is the integrating factor and is a constant. ...

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