Ito and Stratonovich Solutions of the Linear Growth Model

    
Define Ito and Stratonovich processes with the same SDE :
Find mean and variance functions for the Ito process:
The mean and variance functions for the Stratonovich process are different:
When , the Ito solution almost surely converges to zero, i.e. the large limit of probability that process value is does not exceed equals :
Confirm it using simulations:
When , the Stratonovich solution, however, almost surely diverges, i.e. the large limit of the probability that process value exceeds equals :
Confirm it using simulations: