Posts Tagged ‘ stochastic processes ’

Ruin probability and infinite time

March 27, 2012
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Ruin probability and infinite time

A couple of weeks ago, I had a discussion with a practitioner, working in some financial company, about ruin, and infinite time. And it remind me a weird result. Well, not a weird result, but a result I found disturbing, at first, when I was a stud...

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Hey! I made you some Wiener processes!

September 7, 2011
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Hey! I made you some Wiener processes!

Check them out. Here are thirty homoskedastic ones: > homo.wiener for (j in 1:30) {  for (i in 2:length(homo.wiener)) {          homo.wiener for (j in 1:30) {        plot( homo.wiener,           type = "l", col = rgb(.1,....

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Hey! I made you some Wiener processes!

September 7, 2011
By
Hey! I made you some Wiener processes!

Check them out. Here are thirty homoskedastic ones: > homo.wiener for (j in 1:30) {  for (i in 2:length(homo.wiener)) {          homo.wiener for (j in 1:30) {        plot( homo.wiener,           type = "l", col = rgb(.1,....

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