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seen Sep 2 at 14:00

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?
Apr
11
comment Can someone explain to me Feyman Kac and walk through an example?
This is great, thanks
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
19
comment Expectation of Stopping Time w.r.t a Brownian Motion
You just blew my mind. Thank you so much!
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 $E(M_{\tau})=E(M_0)$.
Feb
9
comment how to predict next set of number from two number groups.
@Henry: because I can't read :)
Feb
8
comment how to predict next set of number from two number groups.
Sounds like it would be a 5/59 chance of getting a number in set 2 that is the same as one of the numbers in set 1
Nov
19
comment What is the limiting ratio in differential equations?
Yes, but I'm just confirming that that is what I am supposed to do...take the solutions, divide and take the limit.
Nov
19
comment What is the limiting ratio in differential equations?
No I know how to solve the system, just dont know what the limiting ratio is and how to solve it. Am i just dividing the solutions i get for y(t) and x(t) and then taking the limit?
Nov
19
comment What is the limiting ratio in differential equations?
Oh, so what is y(t)/x(t) then?
Nov
19
comment What is the limiting ratio in differential equations?
no but i have no clue at all what the limiting ratio means.
Oct
10
comment Implications from Characteristic Equation from Second Order Diffeq
updated above..
Sep
28
comment How do you solve this systems of equations?
if you look below, percusse already solved it out, though I haven't check to see if it is correct. This is in the form Ax = b and you have to solve for x = A^-1 b. Can't recall if R or matlab would handle having variables in A or not.
Sep
28
comment How do you solve this systems of equations?
Right, sorry if I was being a little skeptical but I don't want to give it all away! Otherwise you don't learn. Plus it took me so long to figure out how to code that I got lazy :)