1,828 reputation
1030
bio website
location Cambridge, United Kingdom
age 24
visits member for 4 years, 1 month
seen 2 days 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.


2d
awarded  Caucus
Dec
17
comment Application of Monotone class Theorem in the proof of Kunita-Watanabe Inequality
This isn't the kind of approximation argument necessary for this problem. The trouble is that if we have (G, H) for which this holds and (G, I), say, then it isn't a priori clear to me that this holds for (G, H + I). So we can't show that the set of functions for which this holds (the candidate $\cal{H}$) is a vector space. (A succinct proof of this inequality is given on George Lowther's blog, Theorem 6.)
Dec
17
awarded  Excavator
Dec
17
revised Application of Monotone class Theorem in the proof of Kunita-Watanabe Inequality
fix broken link
Dec
17
suggested approved edit on Application of Monotone class Theorem in the proof of Kunita-Watanabe Inequality
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