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visits member for 4 years, 2 months
seen Sep 23 at 12:44

I like to do the math


Sep
24
awarded  Autobiographer
Aug
20
comment Overflow and underflow of a probability value
@Eupraxis1981, let me add that it is a Monte carlo simulation
Aug
20
comment Overflow and underflow of a probability value
@Eupraxis1981, I am simulating a jump diffusion process, $P_i$ is the probability that the process (which is a pure diffusion between jumps) is above the barrier $\log(H)$ between jumps.
Aug
20
comment Overflow and underflow of a probability value
@ClaudeLeibovici, I am using matlab
Aug
20
asked Overflow and underflow of a probability value
Aug
19
accepted solution of difference equation
Jul
20
asked Integrating with indicator functions
Jul
17
accepted How do I apply this maximum principle?
Jul
16
comment How do I apply this maximum principle?
why is $-\max(\inf(-\phi),\inf(-f/b))\geq -\max(||\phi||_\infty,||f/b||_\infty)$?
Jul
14
comment How is conditional probability being used here?
@Did, This is how it is in the article. I have put a link to the problem.
Jul
14
revised How is conditional probability being used here?
added 114 characters in body
Jul
13
comment Solving system of two linear odes
I don't seem to be able to get this solution to be in terms of $\lambda_{1,2}$ which is slightly different from $\alpha_{\pm}$. Can you help with that?
Jul
13
comment Solving system of two linear odes
why is $y_\pm(0)=y_0$? Remember $y_1(0)=y_2(0)=y_0$
Jul
12
awarded  Benefactor
Jul
12
accepted Solving system of two linear odes
Jul
12
revised How do I apply this maximum principle?
added 31 characters in body
Jul
11
revised How is conditional probability being used here?
added 2 characters in body
Jul
11
asked How is conditional probability being used here?
Jul
10
comment How do I apply this maximum principle?
$\Gamma$ is the boundary of box $D$ without the top @par, $Lu=f$ is the differential equation satisfied by $u$.
Jul
10
asked How do I apply this maximum principle?