1,827 reputation
1028
bio website
location Cambridge, United Kingdom
age 24
visits member for 4 years, 1 month
seen 18 hours ago

I'm interested mainly in applied probability, stochastic control and mathematical finance. I'm working towards a PhD at Cambridge University with Chris Rogers.


Nov
9
accepted Distribution of hitting time of line by Brownian motion
Nov
9
comment Law of a geometric brownian motion first hitting time (proof checking)
Check the scaling. You should probably have $\lambda = \bar{\mu} / \sigma$.
Oct
29
awarded  Yearling
Sep
30
awarded  Explainer
Jul
2
awarded  Curious
Jul
2
awarded  Inquisitive
May
13
awarded  Revival
May
8
comment How to compute the limiting distribution of excess life, with uniform density?
Your question will likely get more attention if you define "excess life".
May
6
awarded  Notable Question
May
3
accepted Are $L$-diffusions unique in law?
Mar
9
comment Does the operator $T(f)(t) := f(t) - f(0)$ preserve measurability?
Do you have a reference or construction for the fact that there is a Borel set whose difference set is not Borel?
Mar
6
answered A equivalent definition of the Feller Process.
Mar
6
answered Does every continuous time minimal Markov chain have the Feller property?
Mar
6
comment When are stable continuous time Markov chains Feller? Always?
Thanks, fixed it.
Mar
6
revised When are stable continuous time Markov chains Feller? Always?
deleted 17 characters in body
Mar
5
answered When are stable continuous time Markov chains Feller? Always?
Mar
4
comment Removing deterministic discontinuities from semi-martingales
Please may you specify precisely what you mean by "remove jumps from $X$"? Which properties do you want $Y$ to have?
Feb
26
comment Ruin time for a two-input “risk only” slot machine
A challenge: Find an exact method for numerically computing all the quantities that you simulate (medians included!).
Jan
16
comment Is a local martingale which is nonnegative at a deterministic time, nonnegative.
No. See Example 1 here and flip the signs.
Jan
1
answered Does strong law of large numbers hold for an average of this triangular array containing “almost i.i.d.” sequences?