<t>QuoteOriginally posted by: AlanWell, now I spoiled it with an edit.The problem now is that I strongly suspect frolloos has enough clues to just look up the answer.But, I will guess DalekSec doesn't. What would be interesting would be a 'new' derivation, although everybody is warned the problem is...

<t>QuoteOriginally posted by: AlanThere are lots of motivations, but I wanted to see if DalekSec or frolloos could solve it without hints, so let me defer on that.Dammit, I spent most of an afternoon failing to solve this. I thought that "clearly," the solution is a lognormal y-distribution times a ...

<t>Quotewhat i did was a gram-schmidt orthonormalization for n-dimensions, with the partial derivatives as coordinate vectors. is that equivalent to what you're saying? except that I already had a=b=1 from another transform.I think (but am not sure) that we've used different linear algebra algorithm...

<t>This book by Mary Boas is extremely popular with physicists:Mathematical Methods in the Physical SciencesIt's an undergrad book, but quite a few PhD physicists (including me) check it regularly. I don't think it has any stochastic calculus, which is an obvious problem for quant education.For Ito/...

<t>QuoteOriginally posted by: CuchulainnAre the following possible:1. Does it work for a = a(x,y) etc.2. Having constructed such a form, what can we do with it (e.g. easier numerics)?1. Yes, but then the matrix is replaced by a matrix-valued function. Intuitively, the formula for "good" coordinates ...

<t>The ln/log thing seems to have become a shibboleth for telling mathematicians apart from scientists and engineers.I've heard people pronounce natural log as "Ellen." E.g. "What's Ellen-of-two? About oh-point-sixty-nine." This sounds horrible to my ears, but I can't fault someone for thinking "nat...

<t>Here is an irritating technicality which may be relevant: Let X be normally-distributed with mean 0 and variance 1. Let Y = X.Their joint distribution isThis isn't a bivariate normal PDF, but it is the limit of a bivariate normal PDF that's very skinny in one direction. So it looks like a counter...

<t>Any operator that looks likeis a quadratic form, except the "variables" are actually partial-derivative operators.Any quadratic form can be written as a matrix sandwich: a row vector times a square matrix times a column vector. In this case, it'sThe matrix can always chosen to be symmetric. Since...