SERVING THE QUANTITATIVE FINANCE COMMUNITY

katastrofa
Posts: 9436
Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

### Re: Philosophy of Mathematics

And then the cheating part..

BTW recognise  faces @0.18?
I only recognise Andy Garcia. I had a huge crush on him after seeing Godfather. My type - this should definitely go in the Principal Discussion forum.

I met Mandelbrot in London, several years ago when Cedric Villani got Fields Medal. BM resembled Bilbo Baggins who lost the Ring.
CV was student of PL Lions (also Fields Medal) who is son of JL Lions, the Godfather of French Numerical Analysis. It was JL Lions who suggested to my supervisor to set up a research group on numerical singular perturbations.
Now he's fooling about with Marcone. Rien ma non sur facil... quoi?

Cuchulainn
Posts: 62586
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

### Re: Philosophy of Mathematics

Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
http://www.datasim.nl

Collector
Posts: 4683
Joined: August 21st, 2001, 12:37 pm

### Re: Philosophy of Mathematics

some parts of society give bonuses, other parts of society gives medals and titles.

solid gold medals up in value, gold at close to all time high! (why they now will handle out gold plated medals instead

Cuchulainn
Posts: 62586
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

### Re: Philosophy of Mathematics

Marchuk was head of all Soviet Science and the top numerical analyst of the neutron transport equation. So, not just medals.

Anyways,

$motivation = O(bonus^{-1})$
Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
http://www.datasim.nl

Cuchulainn
Posts: 62586
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

### Re: Philosophy of Mathematics

BTW I implemented 3 weeks ago Marchuk 1-2-2-1 splitting on 2d basket etc, PDEs, It is super robust and accurate. Checked against Collector's big bok of options.
Very few here in the West know 1-2-2-1 aka 'two cycle'.
Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
http://www.datasim.nl

katastrofa
Posts: 9436
Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

### Re: Philosophy of Mathematics

"Two cycle"? What kind of numerical methods are you talking about? Could you provide some references?

Cuchulainn
Posts: 62586
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

### Re: Philosophy of Mathematics

Why, of course! in Marchuk's splitting up book and this

http://old.inm.ras.ru/library/Zalesnyj/ ... 2011k3.pdf

As way back as 2002 tavarisch Alex L. applied it to fixed-income (BTW ADI did not work, so I suggested try Soviet Splitting, bingo!) when he/we presented it at Courant seminar. Even Mrs. Cuchulainn was there but she was awfully bored. Kolmogorov-Smirnov was the last straw.

Another one to do is from my grandad GS
https://en.wikipedia.org/wiki/Strang_splitting

// who knows it might work for stochastic de..

All this stuff use BCH (Baker-Campbell-Hausdorff)
Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
http://www.datasim.nl

katastrofa
Posts: 9436
Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

### Re: Philosophy of Mathematics

The second is Delta, but what's the first equation??
Bump! I can't stop thinking about it

Thanks, Cuchulainn. Interesting problem in that article.
Strang looks like a worthy alternative to st... Too-bad today's ML, sorry, AI kids don't know such methods exist.