SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
savr
Posts: 48
Joined: January 21st, 2013, 3:28 pm

Distribution of max BM - BM

March 25th, 2015, 9:24 pm

QuoteI always thought that if something holds for *any* dt then it should hold for continuous time.Your intuition is good, rather here the limit object has more properties than the (slipshod) approximations.e.g. the supports of Mt and |Wt| : although they are different for fixed dt>0, since dt scales both time and space, they are actually getting nearer.
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On