d X _ { t } = - \gamma X _ { t } d t + \sigma d W _ { t } , X _ { 0 } = x
Solve for x
x=X_{0}
\left(W_{t}=0\text{ and }\gamma =-\frac{1}{t}\text{ and }t\neq 0\right)\text{ or }\left(\sigma =0\text{ and }\gamma =-\frac{1}{t}\text{ and }t\neq 0\right)\text{ or }\left(X_{t}=\frac{W_{t}\sigma }{t\gamma +1}\text{ and }\gamma \neq -\frac{1}{t}\right)\text{ or }\left(X_{t}=W_{t}\sigma \text{ and }t=0\right)\text{ or }d=0
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d X _ { t } = - \gamma X _ { t } d t + \sigma d W _ { t } , X _ { 0 } = x
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