1,792 reputation
927
bio website benderrett.wordpress.com
location Cambridge, United Kingdom
age 24
visits member for 3 years, 10 months
seen Aug 22 at 17:35

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


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?
Dec
27
comment Distribution of stochastic integral in small time
@TheBridge Thanks!
Dec
27
revised Distribution of stochastic integral in small time
added 14 characters in body
Dec
27
answered Distribution of stochastic integral in small time
Dec
22
comment Example of a martingale which is not jointly measurable
Thanks for taking a look. Hopefully your comments will inspire someone to provide a concrete answer.