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It should be ${\displaystyle {\frac {}{}}dX_{t}=a(X_{t})dt+b(X_{t})dW_{t}}$ instead of ${\displaystyle {\frac {dX_{t}}{dt}}=a(X_{t})dt+b(X_{t})dW_{t}}$.

Sorry, my bad. Comment deleted. Sullivan.t.j 14:44, 22 November 2006 (UTC) reply