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by croot
January 17th, 2012, 7:03 pm
Forum: Student Forum
Topic: Ito subtleties
Replies: 34
Views: 16226

Ito subtleties

Quotesince we expect a stable distribution in this limit (since the actual magnitude of a finite del t becomes irrelevant as t->infinity), then a Gaussian is the obvious choice.GBM and CIR disagree.
by croot
January 17th, 2012, 10:07 am
Forum: Student Forum
Topic: Ito subtleties
Replies: 34
Views: 16226

Ito subtleties

<t>Quote (see PWOQF chap 10 of the 1st edition for a proof). I believe you want to explore avenues where one does not havedeltaZ=O(sqrt(delta T) , the condition which PWOQF requires "otherwise the diffusive properties of the problem are lost."I guess ...- IF you are interested in making deltaZ much ...
by croot
January 17th, 2012, 2:09 am
Forum: Student Forum
Topic: Ito subtleties
Replies: 34
Views: 16226

Ito subtleties

<t>Many things I don't understand in your text:"suppose that the probability density of x is analytic in t and satisfies the FORWARD Kolmogorov Eqn (FKE). "Why should the law of x_{t} have a density? Why should I follow you along to suppose it is analytic in t? What is the meaning of a FKE for a dis...
by croot
January 17th, 2012, 1:38 am
Forum: Student Forum
Topic: Ito subtleties
Replies: 34
Views: 16226

Ito subtleties

Quote(1) lim(del t -> 0) E[(del Z)^n]/(del t) = m_n(t)Really this normalization? Not other powers of del t on the denumerator?
by croot
January 17th, 2012, 1:00 am
Forum: Student Forum
Topic: Ito subtleties
Replies: 34
Views: 16226

Ito subtleties

Quoteif we are only interested in stuff that doesn't depend on an sde (e.g. moments, FPE).You need to write down this discrete FPE please!
by croot
January 16th, 2012, 5:20 pm
Forum: Student Forum
Topic: Ito subtleties
Replies: 34
Views: 16226

Ito subtleties

In the deltaT>0 approximating processes consider adding a third condition (L3) lim(DeltaT->0) E[1_{X_{t+deltaT}^{deltaT} \notin B(X_{t}^{deltaT},\epsilon)} ]/DeltaT = 0 ?This subject is in textbook form since Gihkman & Skorokhod Vol.3 Ch.2 Sec.3, try taking a look.
by croot
January 9th, 2012, 9:12 pm
Forum: Careers Forum
Topic: Suggestions for a career shift
Replies: 6
Views: 15616

Suggestions for a career shift

Is physics really boring?
by croot
December 29th, 2011, 8:35 am
Forum: Brainteaser Forum
Topic: Exact sde solution for the sqrt model
Replies: 34
Views: 21902

Exact sde solution for the sqrt model

<t>Quoteit explicitly contructs "a solution" X(t) as a functional of time and B(t). With that definition of closed-formI had a crack at it, but I'm not too good with ODEs.First, I think it would be more informative to rewrite the OU like this:Y_{t}=e^{-\lambda t} Y_{0} -\int_{0}^{t}c(s,t) W_{s} ds +...
by croot
December 25th, 2011, 12:22 pm
Forum: Brainteaser Forum
Topic: Exact sde solution for the sqrt model
Replies: 34
Views: 21902

Exact sde solution for the sqrt model

<t>Are we agreed that integer multiples of Ebal's answer give 'a closed-form SDE solution (for all time)'?The argument seems to be that a Bessel of integer dimension is 'a closed-form SDE solution'..It would be interesting to better define this notion. After all, what makes an OU more closed form th...
by croot
December 24th, 2011, 8:49 am
Forum: Brainteaser Forum
Topic: Exact sde solution for the sqrt model
Replies: 34
Views: 21902

Exact sde solution for the sqrt model

I'm disappointed: at least a countable family corresponding to the integral dimensions of a related BESQ process !
by croot
December 21st, 2011, 6:31 am
Forum: Careers Forum
Topic: best quant role
Replies: 27
Views: 17758

best quant role

<t>Quote Anyway, how about becoming a monk. ... Are you drunk?Yea, seriously, have you any idea how hard it is to land a spot in a decent monastery these days? Competition is fierce. What's more, most monk jobs are really just glorified copyists, I'd say the percentage of their time spent pursuing i...
by croot
December 20th, 2011, 11:28 am
Forum: General Forum
Topic: Paul's blog on Europe
Replies: 138
Views: 21375

Paul's blog on Europe

Quote left, out! I'd like to disagree on this sort of overly political stance being voiced out on a general purpose research inspired forum. Also, the left sometimes plays a useful role.Season's greetings everyone
by croot
December 20th, 2011, 10:42 am
Forum: General Forum
Topic: Paul's blog on Europe
Replies: 138
Views: 21375

Paul's blog on Europe

<t>Quotethere was no famine, just a potato crop failureWow How stupid I was remembering this as famine,when in fact all it was was a period of heightened volatility for the Potato Yield Index, and a liquidity hole affecting various snack market players in the Eire-zone.Finance really can make things...
by croot
December 19th, 2011, 8:28 am
Forum: General Forum
Topic: Paul's blog on Europe
Replies: 138
Views: 21375

Paul's blog on Europe

<r>Agree with katastrofa, NATO exists to fight wars for the interests of its members (eg 'the West') where need be,so protecting Europe+USA against the others,whereas the EU serves first to protect Europe from itself.Check non-partisan link:"The European Union is set up with the aim of ending the fr...
by croot
December 18th, 2011, 7:38 pm
Forum: General Forum
Topic: Paul's blog on Europe
Replies: 138
Views: 21375

Paul's blog on Europe

<t>Seems to me his blog post totally missed the central point: EU 's main (sole) purpose is to avoid future wars. I put down England's smug try at going it alone to the last island invasion being too long ago. As for the new status of proud biggest tax haven to the EU, we'll see how handy that is co...
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