|
May
16 |
|
accepted | Rewriting SDEs - "Multiplication on both sides" |
|
May
16 |
|
comment |
Rewriting SDEs - "Multiplication on both sides" Well, it does. Thank you. |
|
Apr
26 |
|
comment |
Cylindrical sigma algebra answers countable questions only. Given an index set $T$ and a collection of $\sigma$-fields $\mathcal{F}_t$ on spaces $\Xi_t$, $t\in T$. Pick any $A_t \in\mathcal{F}_t$. Then $A_t\times \prod_{s\neq t} \Xi_s$ is a one-dimensional cylinder set. |
|
Apr
26 |
|
asked | Cylindrical sigma algebra answers countable questions only. |
|
Mar
16 |
|
awarded | Popular Question |
|
Feb
12 |
|
asked | Stochastic Exponential: $dZ=-\lambda Z dM + dL$ to $dZ=-\lambda Z dM + Zd\tilde{L}$ while $\tilde{L}$ is still orthogonal to $M$ |
|
Dec
22 |
|
accepted | Fix end point in smooth kernel distribution density |
|
Dec
21 |
|
comment |
Confidence Interval in Monte Carlo integration OK, so since the Binomial is stable under convolution, I can use e.g. Wald's method to do that. Thank you! |
|
Dec
21 |
|
awarded | Commentator |
|
Dec
21 |
|
comment |
Confidence Interval in Monte Carlo integration Correct. More specifically I want to know $\mathbb{P}(X_T>x)$ for some jump process (heavy tailed jumps). So each estimator just runs $10^3$ sample paths - it is like hit if $X_T>x$ and no hit if it is below the threshold. |
|
Dec
21 |
|
comment |
Confidence Interval in Monte Carlo integration You mean just sample once (some large number) - which is a Binomial sample and use the quantiles? |
|
Dec
21 |
|
asked | Confidence Interval in Monte Carlo integration |
|
Dec
16 |
|
comment |
Draw from HistogramDistribution with ParallelTable 8.0 for Linux x86 (64-bit) |
|
Dec
16 |
|
awarded | Commentator |
|
Dec
16 |
|
comment |
Draw from HistogramDistribution with ParallelTable ok, ill give it a try again. thank you for your suggestion. |
|
Dec
15 |
|
comment |
Draw from HistogramDistribution with ParallelTable I just tried your idea with the module and it gives the same problem. The module seems to cause the problems. However, I have to keep it because drawExample does some computations before. |
|
Dec
15 |
|
asked | Draw from HistogramDistribution with ParallelTable |
|
Dec
9 |
|
comment |
Ito Process $\Longrightarrow$ continuous semimartingale No, also the converse is true. Check Thoerem II.3.9 in Protter's book. A cadlag, locally square integrable local martingale is a semimartingale, and a cadlag process with finite variation on compacts also is a semimartingale. Moreover, semimartingales form a vector space. |
|
Dec
9 |
|
answered | Ito Process $\Longrightarrow$ continuous semimartingale |
|
Nov
21 |
|
revised |
Fix end point in smooth kernel distribution density added 6 characters in body |
