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## #1 Re: Guestbook » How old are you bobbym? » 2013-06-13 23:54:34

bobbym wrote:

Hello lindah;

Not to me it isn't.

I am 93 and a gemini. I like bball, pool, chess, bear fighting and dating, which is about the same as bear fighting. I also like being dropped in the jungles of Borneo and fighting my way to the coast. I am Cary Grant good looking, charming and not afraid to cry.

I guess you have gone senile, since I last visited the forums

## #2 Re: Guestbook » How old are you bobbym? » 2013-06-13 23:15:09

Is bobbym's age still a secret or did I miss out?

## #3 Re: Help Me ! » Bounded integrable functions » 2012-07-03 00:57:05

Hi bobbym;

I made up the e^ax, the a is supposed to be a constant

## #4 Re: Help Me ! » Bounded integrable functions » 2012-07-03 00:14:56

Hi bobbym,

The Radon-Nikodym always has to be a martingale for Girsanov's change of measure to be valid w.r.t Brownian motion.

## #5 Re: Help Me ! » Bounded integrable functions » 2012-07-02 22:18:54

Thanks to bobbym, bob bundy  and gAr for your help with my questions recently!!

My exams have finished and I'll know results in a couple of weeks

Linda

## #6 Help Me ! » Bounded integrable functions » 2012-06-25 00:45:47

lindah
Replies: 6

Hi guys,

Sorry for the raft of questions, my exam is in a couple of days and I think my brain has imploded, so apologies if this is a very silly question
Currently I am assessing whether the Radon-Nikodym derivative is a martingale. A sufficient condition (Novikov's) for this is:

Does this condition simply requires the function to be finite. I've always taken this definition (integrable functions) for granted, and have never needed analysis until now.

For example if the expectation I obtain is

then this is not
?

Thank you in advance for any feedback

## #7 Re: Help Me ! » Cubic expansions » 2012-06-24 15:59:55

They are both child prodigies under 20

## #8 Re: Help Me ! » Cubic expansions » 2012-06-24 12:12:28

Hi gAr,

Thank you for that!
That was exactly what I was looking for, the word trinomial seemed to elude me on my searches.

## #9 Re: Help Me ! » Stopping times » 2012-06-24 09:48:50

Hi bob and bobbym;

Thank you for that! I just confirmed with my tutor that bob's answer is the right one. I had no idea what that wedge symbol meant, but in this context it definitely means the minimum as bob has identified.

Oh my, another piece of the puzzle in place

## #10 Help Me ! » Cubic expansions » 2012-06-23 19:14:22

lindah
Replies: 13

Hi guys,

I just wanted to ask if you guys are aware of any shortcuts/rules when expanding something along the lines of:

I can manually do this, however it is a past exam question, thus wanted to find out a quicker way to do this. I realise the last two terms cancel, but it's just a little for when I'm assessing if Brownian motion is a martingale.

I've come across only cubic expansions of the form (a+b)^3 so far in my searches,
Thank you in advance for any feedback

## #11 Re: Help Me ! » Stopping times » 2012-06-23 19:08:47

Thank for that bobbym!

## #12 Re: Help Me ! » Stopping times » 2012-06-23 10:36:22

Hi;

Yes, bobbym that's why I like coming here!

## #13 Re: Help Me ! » Stopping times » 2012-06-23 10:18:54

Hi bobbym;

It's more my fault for not reading the faq!

## #14 Re: Help Me ! » Stopping times » 2012-06-23 10:06:43

Hi bobbym;

That is okay! Thank you for looking.
It's such an abstract course, I keep running into walls of formulas, no practical examples etc

Btw I have just tried using math  site as you previously recommended. I was unaware of the site's etiquette and got a dressing down very early

## #15 Re: Help Me ! » Stopping times » 2012-06-23 08:57:30

Hi bobbym;

I've been feeling that way about stochastic processes and calculus all semester!

## #16 Help Me ! » Stopping times » 2012-06-22 15:50:39

lindah
Replies: 16

Hi guys,

It has been a while!!

I have a quick question as follows:
Where X(t) is an Ito process and

Is

a stopping time?

May I ask what this notation

means?

I understand the maximum or minimum of two stopping times is a stopping time, but unsure how to explain this one.

Any hints would be greatly appreciated
Thank you
Linda

## #17 Re: Help Me ! » Simulating Brownian Processes » 2012-04-26 18:04:31

Hi bobbym,

I believe I'm thick skinned enough (I'm the only girl in the course ), what would you recommend?
I have frequented Wilmott and Nuclear Phynance before and I agree sometimes there are condescending posters there.

## #18 Re: Help Me ! » Simulating Brownian Processes » 2012-04-12 11:31:54

Hi bobbym;

My simulated graph looks like all the generic GBM plots found on the topic and the data is lognormally distributed which is a good sign.

My apologies N~(0,1) is a normal distribution with mean = 0 and variance = 1

## #19 Re: Help Me ! » Simulating Brownian Processes » 2012-04-12 11:15:01

Hi bobbym;

So i was asked to write up a program for the SDE for Geometric Brownian motion:

where
is a Wiener process

For GBM this means

and

Also I found
could be calculated as
where
is N~(0,1)

The code I wrote up for

was:

I looped this in the program to obtain

Then simply stated that

So e.g. starting value is x(0) = 1, then add the first difference
to obtain x(1). Then x(1) is added to the 2nd difference
to obtain x(2) etc

In the end plotting

gives a simulated sample path of GBM

Does this sound right in your experience?

Thank you
Linda

## #20 Re: Help Me ! » Simulating Brownian Processes » 2012-04-12 10:33:32

Hi bobbym

Thanks for your offer to help as always!!
I found an example of simulating the process by reducing the SDE to sort of a method of finite differences.

## #21 Help Me ! » Simulating Brownian Processes » 2012-04-10 14:24:59

lindah
Replies: 26

Hi guys,

I've been asked to simulate a Wiener and Geometric Brownian motion computationally by generating the partial sum for the stochastic integral.

Is anyone familiar with this type of math and willing to check my code (Matlab)?
One further question is after simulating the processes I am asked to compared what I have generated to the theoretical distributions - would this mean the normal and log-normal distributions for Wiener and GMB respectively?

Thank you in advance for  any feedback
Linda

## #22 Re: Guestbook » Happy New Year » 2012-03-30 22:24:00

Hi bobbym,

There can be slight pain if I over exert myself. I will take a couple of months for me to return to full fitness
The most acute pain atm is in the head - oh the math

## #23 Re: Guestbook » Happy New Year » 2012-03-23 12:57:01

Hi bobbym,

With FAI, no one is sure - but its coined the disease for the active. Ironic too much exercise leads to it! I'm not 100% yet, I'm undergoing physical therapy to get back to full strength and mobility

Mathematics - I'm currently working thru the content this semester - stochastic processes and stochastic calculus coupled with option pricing.
It;s been tough going so far!!

## #24 Re: Guestbook » Happy New Year » 2012-02-28 08:47:19

Yes, sorry its a bit late
I had hip surgery (femoral impingement) over the summer (I'm in Australia) and so have been recovering, but all is well now!

## #25 Guestbook » Happy New Year » 2012-02-25 16:00:45

lindah
Replies: 9

Hi guys,

Sorry this is a bit late , but happy new year to all!!!
Thank you for all your generous help in the past year