Explains how the GBM stochastic differential equation arises as a generalisation of the discrete growth and decay process, and then solves the GBM SDE.
Пікірлер: 19
@harshvardhanranvirsingh94733 жыл бұрын
This youtube channel should be made popular..Phenomenal explanation!!!
@quantpie3 жыл бұрын
thanks for being so kind! thank you!
@adrianschroder4847 Жыл бұрын
Great explanation and appreciate the hints on simulation!! Happy Pi(e) day!
@JaGWiREE4 жыл бұрын
Really love this fundamental addition to your stochastic calculus / sde series, I am personally taking the time to learn some statistical mechanics as it seems the physical intuition helps me.
@JaGWiREE4 жыл бұрын
With that said, I wish you a fantastic new year and hope your holidays have been fantastic thus far.
@quantpie4 жыл бұрын
Thanks Brian! Yes that is the way to go! These things are a lot easier to understand when visualised as particles, waves, and states (and cats!)!
@quantpie4 жыл бұрын
And a very happy new year to you too!! Hope you are enjoying the festive season too!
@JaGWiREE4 жыл бұрын
@@quantpie I actually bursted out laughing when I read the (and cats!)! LOL. Wishing you the best of health and fortune in the new year.
@duckymomo79354 жыл бұрын
O wow that was so clear to follow
@quantpie4 жыл бұрын
Thanks @Mi Les!
@NT-ff2dp Жыл бұрын
Super clear presentation 👍👍👍👍👍
@franckherve9814 жыл бұрын
Happy New year guys...A good explanation once again ...
@quantpie4 жыл бұрын
Thanks @Herve Franck, and a very happy New Year to you too!
@nilofarafzali2893 жыл бұрын
Brilliant video - thank you! Thoroughly enjoyed following this.
@quantpie2 жыл бұрын
Glad you enjoyed it! thanks!
@SuperDoc30004 жыл бұрын
Great video
@quantpie4 жыл бұрын
Thanks!
@user-vv4lq1jj5n Жыл бұрын
Hi! Could you prompt how can I find out the probability that GBM (dX=X(r*dt+sigma*dB) will less than constant in all time t before T?