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by Alan
February 15th, 2020, 7:22 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 3363
Views: 155705

Re: Trump -- the last 100 days

Unrelated, but if they're going to subpoena John Bolton, they have to subpoena Hope Hicks. Why? Oh come on :D ... https://i.4pcdn.org/pol/1519870931505.png       I have some news that will make both of you happy.   Hope Hicks expected to return to White House - CNN Feb 13 "Long seen as a stabilizin...
by Alan
February 14th, 2020, 4:14 pm
Forum: Technical Forum
Topic: Is Ito’s lemma applicable to a diffusion process with transition probability?
Replies: 2
Views: 949

Re: Is Ito’s lemma applicable to a diffusion process with transition probability?

Yes, what you are describing is a jump-diffusion. There is an Ito's lemma, a generator, an evolution PIDE, etc, etc. There are many books discussing such processes. Cont and Tankov is good. So is "Option Valuation under Stochastic Volatility II"   :)
by Alan
February 13th, 2020, 2:34 pm
Forum: Numerical Methods Forum
Topic: About solving a transport equation
Replies: 157
Views: 56400

Re: About solving a transport equation

https://en.wikipedia.org/wiki/Burgers%27_equation It would be interesting if Alan and Paul can produce explicit solution for (3A)/(3B) [$]u(x,t) = (ax + b)/(at + 1)[$] for the initial condition [$]u(x,0) = ax + b.[$] I said earlier I don't know much about shocks. But, reading that Wikipedia link, i...
by Alan
February 13th, 2020, 5:52 am
Forum: Student Forum
Topic: Silly questions
Replies: 102
Views: 21321

Re: Silly questions

I demand a recount! Anyway, it's not even 6am -- don't you people sleep?
by Alan
February 13th, 2020, 5:34 am
Forum: Student Forum
Topic: Silly questions
Replies: 102
Views: 21321

Re: Silly questions

The named function just happens to be the answer! Exam question 1: Find the solution of ... Answer: Define [$]\mbox{Lewis}_1[$] as the answer to question 1. Trivially and wlog the answer to question 1 is [$]\mbox{Lewis}_1[$]. Exam question 2: Etc. !!! Well, I'm glad the thread title is called "Sill...
by Alan
February 13th, 2020, 1:30 am
Forum: Student Forum
Topic: Silly questions
Replies: 102
Views: 21321

Re: Silly questions

I think it's just recognizing a "named function". So, take n=6  In Mathematica, what I posted evaluates to [$]1764 - 720 \, \gamma \approx 1348.4[$], using Euler's constant [$]\gamma[$].   Since [$]1348.4 \not= 6[$] that answer's Daniel's question. If it was truly circular, I don't think one could g...
by Alan
February 13th, 2020, 1:23 am
Forum: Student Forum
Topic: Silly questions
Replies: 102
Views: 21321

Re: Silly questions

Via gamma fn, looks messy!
That works. 
Since [$]\frac{d}{dz} \log \Gamma[z] = \psi(z)[$], the Digamma function (A&S, 6.3.1), then 

[$] \frac{dn!}{dn} = \psi(n+1) \, n![$], where of course [$]n![$] is interpreted everywhere as [$]\Gamma(n+1)[$]. 
by Alan
February 10th, 2020, 6:30 am
Forum: Numerical Methods Forum
Topic: About solving a transport equation
Replies: 157
Views: 56400

Re: About solving a transport equation

That's very good and clear, Alan. I get the same solution as your integral approach. BTW do you use some kind of Leibniz' rule for this? I might have missed something along the way. Thanks. No Leibniz rule needed for what I wrote; you solve [$]\frac{dX}{dt} = b(X)[$] simply by writing it as [$]\fra...
by Alan
February 7th, 2020, 3:45 pm
Forum: Numerical Methods Forum
Topic: About solving a transport equation
Replies: 157
Views: 56400

Re: About solving a transport equation

Let me switch to (mostly) book notation for a moment. My main goal in Appendix 1.2 is to make the standard PDE-SDE probability connection for parabolic PDE's on the real line (so no bc). So, for each PDE treated, one finds the (formal) probabilistic solution: run an SDE and take an expectation. Effe...
by Alan
February 7th, 2020, 3:59 am
Forum: Off Topic
Topic: Stupid question of the day
Replies: 2195
Views: 145288

Re: Stupid question of the day

Most things that I put in my frigerator are being frigerated for the first time. Works for me!

The significance of the rainbow is change. Caterpillar into cocoon into
 beauty... _____ wants to change, too, Clarice. But there's the problem
 of his size, you see. -- H. Lecter
by Alan
February 5th, 2020, 8:16 pm
Forum: Economics Forum
Topic: Is inequality really rising?
Replies: 20
Views: 2759

Re: Is inequality really rising?

Excellent -- appreciate your non-knee-jerk reaction to that video.

Re diapers: 
What Rita Wants  :D
by Alan
February 5th, 2020, 8:01 pm
Forum: Trading Forum
Topic: Tesla vs. the Shorts
Replies: 13
Views: 1652

Re: Tesla vs. the Shorts

Speaking of analogies with bitcoin, BTC is famous for the "Bart Simpson" chart pattern, created today in TSLA (bottom chart), and above that, the pattern in BTC:  tradingview_btcusd_chart_bart_pattern.png [attachment=0]TSLA_5.png[/attachment][/font] I grabbed the BTC chart from:  https://beincrypto....
by Alan
February 4th, 2020, 11:45 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 3363
Views: 155705

Re: Trump -- the last 100 days

Bloomberg has an argument here: "Hey, at least my software works!"
by Alan
February 4th, 2020, 10:05 pm
Forum: Trading Forum
Topic: Tesla vs. the Shorts
Replies: 13
Views: 1652

Re: Tesla vs. the Shorts

Speaking of "one short stops out", I will admit to an unsuccessful short attempt today. Shorted 10 shares at $915, stopped out at $945 (well, really just capitulated, didn't have an actual stop) -- so never made it 'till the selloff at the close. Oh well. Looking back, I had a nice (profitable) cove...
by Alan
February 4th, 2020, 9:28 pm
Forum: Numerical Methods Forum
Topic: About solving a transport equation
Replies: 157
Views: 56400

Re: About solving a transport equation

Really? A2.10 refers to P3. Take c=k=0, [$]\phi \rightarrow f[$], [$]\tau \rightarrow t[$], and [$]X_{\tau} \rightarrow \xi(t)[$], suppressing the initial value x. That's the same, right, up to the various different labels for things?  

p.s. Thanks for buying the book!
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