Recent content by RedZone2k2

I figured it had to do with a Poisson jump. Thanks!

Yeah, sorry, that was a typo; what you have written above is correct.

M(t) represents the net change from your starting amount, so E[(M(t)] = 0.

Sure, I think of it like this: You start out with a dollars, and your opponent starts out with b dollars. The variable M(t) is the sum of all your winnings and losses. You play until one person beats out the other, so you play until M(t) is either -a (where you are bust) or +b (where you...

I posted this in the HW help section, but I had no responses. I figure that this place may be better to answer this question. If this is against the rules or anything, mods please remove it! Homework Statement Find the probability of an outcome of Gambler's Ruin using a Poisson...

That makes a lot of sense. Thank you!

So here is what I have so far: The quadratic variation is the sum of all [N_t_(i+1)-N_t_i]^2, with the max |N_t_(i+1)-N_t_i| --> 0. Since Poisson distributions are independent, and we want to find N(t), partition the interval [0,t] to n subintervals. Let h = max |N_t_(i+1)-N_t_i|. So...

Hey guys, This is my first post on PhysicsForums; my friend said that this was the best place to ask questions about math. Anyways, I have to find the Quadratic Variation of a Poisson Process. My professor doesn't have a class textbook (just some notes that he's found online), and...