riotburn
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 Jan 4 awarded Notable Question Sep 23 awarded Popular Question Mar 20 awarded Popular Question 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 $P(B_{\tau}=b)$?