network profile
| bio | website | |
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| location | ||
| age | ||
| visits | member for | 3 months |
| seen | Feb 5 at 23:46 | |
| stats | profile views | 4 |
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Jan 28 |
comment |
Simulation of GBM Thanks a lot! That was very helpful! |
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Jan 28 |
comment |
Simulation of GBM Thank's for pointing out the typos and sorry about that. I follow your point, just one question: Why does the time dependent part in the stochastic element drop out? should sigma Z_j not be dependent on the time step? |
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Jan 28 |
comment |
Simulation of GBM That makes sense, thanks a lot (and sorry about the typos). So, do I understand correctly then that the discrete form is usually an approximation and used if there is no closed form (i.e., no exact analytical solution)? And by approaching the limit of 0 with my timestep, I can overcome the problem (somehwat) of an approximation error? |
