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Jun
29
comment Moment generating function of $(W_T, \max W_t)$
@ir7 My answer was wrong. I lost a constant somewhere. The new result is correct.
Jun
26
comment Moment generating function of $(W_T, \max W_t)$
@ir7 Yeah, I just did that. Sort of. If you check my calculations and find any mistakes, please let me know.
Jun
26
comment Moment generating function of $(W_T, \max W_t)$
Of course! That did it. Using Wolfram Alpha I got it expressed in terms of the error function. I will add the answer to my post, for future reference.
Jun
25
comment Moment generating function of $(W_T, \max W_t)$
@Did I tried that, yes. But calculating that double integral (if it's even possible) is not trivial. I was hoping someone might be able to tell me that this had already been done.:)
Jun
24
comment Mean and variance regime-switching model
This is perhaps a silly question, but what is $\epsilon(s)$?
May
10
comment No arbitrage iff there EMM $P^*$ theorem
Well, straight from the definitions above, a type A arbitrage is also a type B arbitrage. In fact, if we have a strategy giving a positive initial cashflow, see that we could alter the strategy slightly, by investing the amount obtained at time 0 in the risk-free asset. This will give $V_0 = 0$, and it is a type B arbitrage. I'm not exactly sure if this is what you are looking for, since I haven't seen the proof.
Apr
23
comment Geometric brownian motion - Ito's lemma
They should be corrected now.
Apr
23
comment Geometric brownian motion - Ito's lemma
@Ian you are absolutely correct. There are just so many errors. Haha. Sorry for that.
Aug
16
comment How to measure power spectral density in matlab?
Thanks, both of you. I have added the Signal Processing-tag. If I use the above code, what should then be the unit of the x-axis? Note that this question is actually an exact duplicate of this question, which I have posted to get the most peoples attention. If you have any comments, here or there, please let me now.
Aug
14
comment Non integral degree derivatives
I'm afraid not. But you might want to add that to your question. I just remembered seeing this a while ago, so it was quite easy for me to search for right now. But I have no experience with it whatsoever.:(
Jun
27
comment Is there any mathematical theory behind sudoku?
I know this is probably not what you're looking for, but check out this article describing the connection between the solution of sudokus and CAT scans, via the Radon Transform. In my opinion, that is really quite incredible!
Jun
24
comment Interesting Math for 3-graders
Yes, it is not exactly easy to see by youself - especially not when you're a 3rd-grader. But it is very easy to see that each of the yellow circles corresponds to precisely one way of choosing two purple circles! Telling them, without giving any insight in why it is so, that $\binom{n}{2}$ describes the number of ways to choose two purple circles, would (should (could)) complete their understanding of this proof. Showing them, then, another simple geometric proof of this identity (does it have a name?) would really show the beauty of math; that the same thing can be said in many different ways
Jun
23
comment Infinite divisibility of random variable vs. distribution
Thank you very much! Should I delete my "question"?
Jun
23
comment Infinite divisibility of random variable vs. distribution
Then there is none. This link says otherwise, which had me confused.
Nov
22
comment Understanding Fourier Transform and FFT
Thanks - I will take a look!
Nov
22
comment Understanding Fourier Transform and FFT
That is exactly the situation, yes!
May
8
comment What are some examples of a mathematical result being counterintuitive?
Well, it might not be directly related to fractal geometry, I guess. I heard of it in a fractal geometry course. The thing about it is, that it is possible to rotate the needle in a set of Lebesgue measure 0, but Hausdorff dimension 2. The latter takes fractal geometry to prove.
May
7
comment What are some examples of a mathematical result being counterintuitive?
I heard about it in a Fractal Geometry-course. Funny result. In general, I think fractal geometry takes some getting used to. Fx the notion of Hausdorff-dimension. It is somewhat counterintuitive to me that a set, such as the Cantor Set can have irrational Hausdorff dimension (here ln 2/ ln 3), even if it is a subset of R, and has Lebesgue measure 0.