Hot answers tagged

2

I don't know if this is enough. But here is my understanding. Let's imagine a simple process like a Poisson process. It is naturally cadlag, because at the time you jump, you jump. Just before, you have not jumped. Mathematically, if the first jump occurs at $t$, $\forall s<t, N_s=0$ and $N_t=1$. It means that the jump occuring at time $t$ is $t$-...


1

Generally, the PCA approach proceeds as follows. Consider historical observation times $t_0 < t_1 < \cdots < t_K \le0$. For bucketing times $\delta_1 < \cdots \delta_n$, let $X_j(t_k) = \ln F(t_k, t_k+\delta_j)$. Moreover, let $\eta_j$, for $j=1, \ldots, n$, be a normal random variable with a sample set $\big\{X_j(t_k)-X_j(t_{k-1}\}_{k=1}^K\big\}...


1

First, let us formulate the problem mathematically: A symmetric random walk starts at 0 and moves up or down one unit (with equal probability) every 1 second. The are two absorbing barriers located at H and -L, with $H,L>0$. Given infinite time, what is the probability $p_H$ that H will be hit before -L is hit and what is the probability $p_L$ that -L ...



Only top voted, non community-wiki answers of a minimum length are eligible