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visits member for 3 years, 2 months
seen Sep 2 at 14:00

Jun
10
awarded  Popular Question
Jul
8
comment Solving a system of non-linear (trig) equations:
What does your third equation equal? Are your unknowns the three greeks or is it the three greeks and A? If its four unknowns then you have to use a trig identity to get the fourth equation.
May
23
comment How do you make dependent Brownian motions independent?
so are you saying that dB(t) multiplied by the inverse of the correlation matrix on left hand side is independent?
May
23
asked How do you make dependent Brownian motions independent?
Apr
11
comment Can someone explain to me Feyman Kac and walk through an example?
This is great, thanks
Apr
11
accepted Can someone explain to me Feyman Kac and walk through an example?
Apr
11
asked Can someone explain to me Feyman Kac and walk through an example?
Dec
20
comment How do you show this is a martingale?
Yup you're right, I must be stupid or something then. Goodnight!
Dec
20
comment How do you show this is a martingale?
thanks for your help but I fail to grasp why you fail to grasp that someone asking for help on a math help forum is having trouble with a math question...
Dec
20
comment How do you show this is a martingale?
$\int e^{\sigma (x-y)} \frac{1}{\sqrt {2 \pi (t-s)}} e^{-\frac{(x-y)^2}{2(t-s)} }dy$ ? Honestly not sure, the exponential is throwing me off.
Dec
20
comment How do you show this is a martingale?
Ok so its normally distributed with mean 0 and var t-s. How do you solve $E[e^{\sigma (B(t) - B(s))}]$?
Dec
20
awarded  Student
Dec
20
asked How do you show this is a martingale?
Dec
19
comment Expectation of Stopping Time w.r.t a Brownian Motion
You just blew my mind. Thank you so much!
Dec
19
awarded  Scholar
Dec
19
accepted Expectation of Stopping Time w.r.t a Brownian Motion
Dec
19
comment Expectation of Stopping Time w.r.t a Brownian Motion
Thank you for the answer! The first part this question comes from asks to prove that $(B^2_t - t)$ is a martingale. I never made the connection nor what the usefulness of the stopping theorem was. Two questions. How do you get $P(B_{\tau}=-a) = 1 - P(B_{\tau})$? How do you get $P(B_{\tau}=b)$?
Dec
19
comment Expectation of Stopping Time w.r.t a Brownian Motion
I'm looking how to solve $E(\tau )$ in general. The stopping time defined in the original question is a practice question for my final.
Dec
19
comment Expectation of Stopping Time w.r.t a Brownian Motion
Using M as any martingale such that the optional stopping theorem states: Let $\tau$ be a stopping time and $M_n$ be a martingale. If there is $K\in \mathbb(N)$ such that $\tau \le K$ almost surely then $E(M_{\tau})=E(M_0)$.
Dec
19
awarded  Custodian