Vaolter
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 Jun 2 comment Scaling in utility maximisation Yes you are right, there should be $w_t$ there. Jun 2 comment Scaling in utility maximisation I am not sure if at this stage $\mu>r$ matters. I am not sure though. You are right, it's Brownian motion see correction. Jun 2 comment Dual variable calculus I don't understand your second equality. Maybe you made a mistake. Dec 3 comment Matlab wrong cube root @Fmonkey2001, you are right Nov 18 comment How to solve an inverse of derivative ode I think so @Raskolnikov Nov 18 comment How to solve an inverse of derivative ode No it's an inverse not a reciprocal Nov 17 comment How to use binary search to find a function I am not sure about your answer. The point is to get the function $\phi$ not the root of the equation. 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 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 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 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 4 comment How to determine the eigenvectors for this matrix How are you getting v? Row operations give $\left( \begin{array}{ccc} 1 & -\frac{\beta}{\alpha+\lambda_i}\\ 0 & \frac{\alpha-K\lambda_i}{\beta} \end{array} \right)$ from which $v_2$ is zero Jun 14 comment Distribution of minimum of independent normal variables No that was not my question. I realised that I can use a different way and avoid it May 30 comment How to establish a lower bound on this difference operator? @LutzL, see the edit to see how far I got. Apr 22 comment Hint in Proving that $n^2\le n!$ justify the "?" in your answer Apr 22 comment Hint in Proving that $n^2\le n!$ how is this correct, you have used something that you are trying to prove