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visits member for 3 years, 10 months
seen Apr 10 at 6:11

Jan
30
accepted Properties of weighted average ratio of weights
Jan
29
asked Properties of weighted average ratio of weights
Oct
14
comment Normal approximation to the log-normal distribution
So the difference in c.d.f. between $LnN(\mu, \sigma)$ and $N(e^\mu,\sigma e^\mu)$ is bounded quite well when $\sigma/\mu << 1$, right? I wonder if the ratio of c.d.f. between normal and log-normal is also bounded (when tails become thin, the approximation that guarantees maximum absolute difference isn't as impressive).
Oct
14
accepted Normal approximation to the log-normal distribution
Oct
13
asked Normal approximation to the log-normal distribution
Sep
30
awarded  Altruist
Sep
30
comment Wiener Process $dB^2=dt$
In simple words, does it make sense to say that $$dB_t^2$$ is non-stochastic? If so, is there any intuitive reason for that, which can be explained without strict definitions?
Sep
26
awarded  Commentator
Sep
26
comment Wiener Process $dB^2=dt$
I think the answer to my bounty clarification request is that a simple calculation shows that the standard deviation of $dB^2$ is actually of the order of $dt^{3/2}$, while its expectation is of the order of $dt$. So the randomness can be ignored.
Sep
22
comment Wiener Process $dB^2=dt$
@Did : probably too late to re-do this as a new question at this point - only would cause more confusion. Unless moderators agree and help.
Sep
22
comment Wiener Process $dB^2=dt$
@Did : sorry I thought if I asked a new question, mods would close it as a duplicate. My questions on stackoverflow were closed a few times as duplicates, even when I tried to explain why (in my opinion) they weren't... As to the wording of the bounty, there were only a few options, and none of them fit the situation. I figured I could loosely interpret "recent changes" to mean "comments added recently" (by you).
Sep
22
comment Wiener Process $dB^2=dt$
@Did : Your clarification about the "deeper result" is precisely what I was hoping to see in one of the answers... Could someone possibly provide such an answer at the most intuitive / least rigorous level that you feel is possible? Thx..
Sep
22
awarded  Investor
Dec
8
comment Symmetry arguments in probability
I assume all that we need to formalize this is to observe that there indeed exists an argument which shows that the probability in question is a certain number, since at the very least we can simply enumerate all the cases. (BTW.. I wonder if there are any cases where the symmetry argument breaks down only because it's unclear if the required argument exists; i.e., it's possible that the question about the value of the number is unsolvable. Clearly, it can't happen with probabilities on a finite space, but perhaps in other areas?)
Dec
8
accepted Symmetry arguments in probability
Dec
8
comment Symmetry arguments in probability
@Inquest I did a poor job explaining what I know about the deck, so I updated the question.
Dec
8
revised Symmetry arguments in probability
added 231 characters in body
Dec
8
asked Symmetry arguments in probability
Apr
27
accepted incremental simulation of GBM
Apr
26
answered incremental simulation of GBM