The dependent solution performing a FRFT

In the next step, we allow the N Brownian motions dwf t) and fzp(t) to be correlated via 

Together with a change in the time variable T = To t we have 

The general solution of these differential equations can be derived for three special cases. To the best of our knowledge, this is the first time that a closed form solution given dependent Brownian motions within a USV model has been derived. 

The functions M ai,bi, ) and U ai,bi, ) are Kummer functions of first and second order with the parameters 

The integration constant is defined by the boundary conditions D To) = 0 leading to 

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