Recent content by cppIStough

Did i put this in the wrong section?

Ito's formula states for some stochastic function F(S,t) where S evolves as dS = f(W,t)dt + g(W,t)dW and W is brownian motion: $$dF = \partial_t F dt + \partial_xF dx + 1/2 \partial_{xx}F dt$$ So why question is, what does dF really mean here? I see in brownian motion we take $$dS = r dt +...

hahaha okay, fair enough, i just wanted to know if anyone had used it. Okay, so I'm using windows on visual studio. I configure the solution i'm currently trying to link with to include the path to the FFTW3.lib file: in order to do this I'm clicking properties > Linker > Input and then adding...

Title says it all, I'm trying to link FFTW and am getting a linker error. Anyone here have experience using this library?

The data can be chaotic. Even curve fitting assumes a functional form (polynomial, which I cannot use, must be exponential decay and sinusoidal, so I think ##f(t) = A \exp(-\alpha t)\cos(2\pi f t + \phi)##. I saw this post and thought there would be a nice implementation for extracting both...

yea this is regression. was looking for laplace transform or some psuedo-analytic manner

Given a vector of numbers, say [exp(-a t) ] for t - [1, 2, 3, 4, 5] and choose maybe a = -2.4, how can I approximate -2.4 from using Laplace transform methods? I know you can use regression for this, but I'd like to know the Laplace transform (or Z-transform since it is discrete) approach.

I have the following directory of c++ files, and it looks like: d.lib --apps ----run_logger.cpp ----CMakeLists.txt --include ----logger.h --source ----logger.cpp I want to build run_logger.cpp. I'm using Visual Studio. My CMakeLists is...

I read from a text: "suppose a stock with price ##S## and variance ##v## satisfies the SDE $$dS_t = u_tS_tdt+\sqrt{v_t}S_tdZ_1$$$$dv_t = \alpha dt+\eta\beta\sqrt{v_t}dZ_2$$ with $$\langle dZ_1 dZ_2\rangle = \rho dt$$ where ##\mu_t## is the drift of stock price returns, ##\eta## the volatility of...

This is great! What made you think to integrate from ##R## to ##R + \eta##? Becasue ##\eta## is deviation from equilibrium, so for me it wasn't obvious that it implies a change in volume. EDIT: except now I look at the form and it's a function of ##t## which of course means it grows. Thanks so...

I have a spherical cap of liquid (drop) that rests on a substrate. The substrate has a small hole at the base where liquid is pumped into the drop. One way to parameterize the spherical cap is via: $$x = \sin(s)\cos\phi/\sin\alpha, \,\,\,y=...

EWMA (exponential weighted moving average) is one way to estimate variance of time series data, and is pretty well known. The issue I have with EWMA is the maximums aren't smooth, especially when recovering from a time-series large spike, and it can take a little while to recover to pre-spike...

I can open a new thread if needed, but I thought since this question is right in line with what we spoke about above, perhaps it belongs here. I have the files rk4.h #pragma once #include <vector>class ODESolverMethod { public: double x0, y0, x_end; int n; explicit...

Okay great, this makes a lot of sense. I'll polish up the roundoff errors but here's what we have (which works and makes a ton of sense: thanks!!!). Only difference, which I think you intended, was to have solve not output a void, but instead output the solution vector (or were you imagining...

EDIT: I don't know why the cpp code box below isn't appearing in proper format. I'll fix it if I can, but I don't see anyhting wrong with the syntax to display properly. Okay, this was helpful! Here's what I have (I'll clean up the rounding errors, and to answer a few posts ago, I am familiar...