@ Cuchulainn Ha ha!! I couldn't help myself. “I suppose people of our generation aren't able to die for good causes any longer. We had all that done for us, in the thirties and the forties, when we were still kids. ...There aren't any good, brave causes left." BTW Orbit, you once used the 'B' ...

Isn't it great that Irish kids living in UK and NL get the chance to get back home in the summer season.

www.youtube.com/watch?v=trVd4hOAb84

That's pretty awesome!!

@Cuchulainn

Ha ha!!
I couldn't help myself.

Not only is Oasis STILL the greatest rock band in the world, all the various offshoots of that great enterprise are terrific. Beady Eye, Liam (Solo),  High Flying Birds. All EXCELLENT. How do I know this? Because I solved a PDE that has this as its answer. However, I verified this result by way of M...

The main thing is have you understood where the integral comes from and how that integration by parts was achieved?

Yes. Yes, I do.

Ok I feel as though I've started some kind of shitstorm.
I just wanted help with an integral.
Sorry.

As an American, I know this seems pretty strange but I think it's one of the cooler games out there.

This is one of the reasons I don't trust your judgement on PDEs!

Ha haa!!!

Ronnie "The Rocket" O'Sullivan is my favorite Snooker player. He is spectacular to watch. Although the Hurricane was a colossus. (Is that a mixed metaphor, ha ha??) @Cuchulainn It's funny though, when you see players that can do spectacular things without knowing anything about classical m...

This is pretty far off-topic for Quant Finance. In recent times I have been getting in to watching Snooker play on YouTube. What a game! I have really been enjoying this. I am not very good at billiard-type games but wow I would love to get a snooker table at home!! As an American, I know this seems...

Cuch, For me I think of pencil-and-paper solutions of PDEs as being really, really easy to screw up. But that's just me. Think of the original solution to Black-Scholes. There are a thousand ways to goof up on the way toward transforming into the heat equation. BTW I would prefer your Plan C, ha ha!!!

Alan/Cuch:
Honestly, with greatest respect to the PDE gurus here, these days I generally do anything in the world to avoid solving PDEs, and usually try martingale approaches. Just my 2 cents, ha ha.
BTW Alan your link is really great.

Alan, thank you.

Thank you very much Alan.
1- Can you offer any pointers to finding what underlying parameters cause exit time to go unbounded vs. finite?
2- Can you guide me through (in the proper context) showing that the second integral is true?

Hi Cuchulainn, my version is 2003 I think?
Edit: in my version, equation 10.5 is the Kolomogorov equation, only instead of treating the probability function,it's treating the expected hitting time?

Hi all:in PWOQF Volume 1, p.161, 162 Paul says: Let me introduce the function [$]C(y,t;t')[$] as the probability of the variable [$]y[$] leaving the region [$]\Omega[$] before time [$]t'[$]. This function can be thought of as a cumulative distribution function. ...Once we have found [$]C[$] then it ...