1,226 reputation
29
bio website
location United States
age
visits member for 1 year, 4 months
seen 10 hours ago

Probabilist by training. Currently working as a data scientist.

quasi dot surely at gmail


1d
comment Distribution of Brownian Bridge
The starting point doesn't matter. You're conditioning on the Brownian Motion being $a$ at time $T_1$, so there's no variance there. Just do the calculation on $[0, T_2 - T_1]$.
Apr
9
comment unique equivalent martingale measure in incomplete markets
yeah. you apply $f(x)$ pointwise.
Apr
8
revised unique equivalent martingale measure in incomplete markets
added 9 characters in body
Apr
8
comment unique equivalent martingale measure in incomplete markets
yeah, thanks. this was a while ago, i have to try and understand what i wrote.
Apr
8
comment How can the Wiener process be nowhere differentiable but still continuous?
Continuity is a weaker property than differentiability.
Apr
8
comment How do you calibrate a poisson arrival rate process?
Don't you know $\delta$? You have to estimate $A$, where $A \leq 1$?
Apr
7
answered Simple question about expected value of brownian motion
Apr
5
reviewed Reject suggested edit on Are e-mini markets manipulated?
Mar
31
comment backward Kolmogorov equations - Markov properties
Answer below looks correct to me. Also, it doesn't make sense to say that $a$ and $b$ are ito-integrable, as they're just real-valued functions.
Mar
27
revised Does risk-neutral measure have anything to deal with risk-neutrality in utility theory?
added 30 characters in body
Mar
27
revised Does risk-neutral measure have anything to deal with risk-neutrality in utility theory?
deleted 597 characters in body
Mar
26
answered Does risk-neutral measure have anything to deal with risk-neutrality in utility theory?
Mar
24
comment Definition of orthogonality and independence for a stochastic processes
I've spent quality time with all of these. Williams: Probability w/ Martingales, Oksendahl, Karatzas/Shreve, Protter: Stochastic Integration, Revuz/Yor: Continuous Martingales and BM, Kallenberg: Foundations of Modern Probability
Mar
24
comment Definition of orthogonality and independence for a stochastic processes
I'm not sure where I learned them, that's just how I remember them. I think they're both pretty standard.
Mar
23
revised Definition of orthogonality and independence for a stochastic processes
added 79 characters in body
Mar
23
comment Definition of orthogonality and independence for a stochastic processes
Yeah if you had the filtration defined already you would do that.
Mar
23
revised Definition of orthogonality and independence for a stochastic processes
added 995 characters in body
Mar
23
reviewed Approve suggested edit on Definition of orthogonality and independence for a stochastic processes
Mar
23
revised Definition of orthogonality and independence for a stochastic processes
added 11 characters in body
Mar
23
reviewed Reject suggested edit on What are some research articles on using principle components to generate alpha?