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by N
May 9th, 2003, 10:41 pm
Forum: General Forum
Topic: Question about a random walk...
Replies: 26
Views: 194750

Question about a random walk...

<r>QuoteQuote--------------------------------------------------------------------------------Originally posted by: MathDorkActually, I found the answer, and the answer is yes if p = .5 and no if p is anything else. Check this out for a proof:<URL url="http://www.stats.ox.ac.uk/~northrop/teaching/b10...
by N
May 9th, 2003, 9:27 pm
Forum: Off Topic
Topic: Algebraic Geometry and Heat Kernels by Newton
Replies: 18
Views: 190499

Algebraic Geometry and Heat Kernels by Newton

I'd say the funniest things I've seen are the electron in the well posts. The authors must bea real hoot in energy trading.
by N
May 9th, 2003, 8:59 pm
Forum: Technical Forum
Topic: Stat Arb: Time-Varying Moment Estimates & the Kalman Filter
Replies: 174
Views: 200552

Stat Arb: Time-Varying Moment Estimates & the Kalman Filter

Reza,The Kalman-Bucy Filter is the optimum filter for any distribution allowed in this forum. Pleasesee Oksendal for the proof.
by N
May 9th, 2003, 8:44 pm
Forum: Technical Forum
Topic: Lie-algebraic approach
Replies: 148
Views: 196274

Lie-algebraic approach

<t>Nonius,I recently corrected the Black equation (It was missing a term) and smiles are fully accounted for now. What'sinteresting is that your conjecture is 100% correct (although the parameter you envisioned is not quitewhat you thought it was), and the proof is derived directly from the correcte...
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