Recent content by xuej1112

thanks. if g is a concave function, can i say g(E(x))>=E(g(x)) ? (jensen's inequality)

Sorry. E is the expectation

is ln(E(x^n)) equal to E(ln(x^n)), if x is a continuous variable and x>=0? Help me! Thanks!

thank you!

thank you.that's right. is there any other method to calculate the basis of space T?

If T={Bi} Bi are the all matrix of rank n. So,T is a matrix space(right?). How to calculate the basis of T? are the basis of T also some matrix? Thank you!

this is a image in the book:

thank you! the problem is about a example of Vasicek model.it is in the book"Strategic Asset Allocation in Fixed Income Markets A Matlab based user's guide",page 77.It wants to solve a PDE of Vasicek model for bond pricing.

who can help me to run this code in matlab? I run it in my computer but the result is totally different from the book! In the book,the image is a increase curve,but my result is a decrease curve.So, is there something wrong of my MATLAB? code： syms r P A B t; P = exp(A+B*r); disp('first...

thank you man! I am just back from norway. I tried the code you give me,but it is not work. The following is the code,could you help me to check it? >>dr = 0.005; Nr = 20; dt = 0.1; Nt = 20; a=0.2339*0.0189; b=0.2339; delta=sqrt(0.0073); u=zeros(Nr+1,Nt+1); u(1,:)=1; for...

Thank you so much. by the way,could I find the analyze solution of this equation by matlab?

because I use the implicit difference method.It is steady.So,maybe this is a equation system.

thank u so mush!but I think my difference method is implicit difference that is: B_j^i = \frac{\sigma_j k}{h} B_{j-1}^{i+1} + \left(1-\frac{2 \sigma_j k}{h^2}-\frac{\mu_j k}{h}-r_j\right)B_j^{i+1} + \left(\frac{\sigma_j k}{h^2}+\frac{\mu_j k}{h}\right)B_{j+1}^{i+1}, so: B^i = \left(...

Thank you so much! you a so kind! I wrote some code this afternoon.but i think there is some thing wrong r is the longitudinal coordinates, t is the x-coordinate: dr = 0.01; %each depth step Nr = 100; % Choose the number of depth steps Nt = 40; % Choose the number of time steps dt =...

yes, I know these are the boundary conditions.I mean that I don't know how to express them in the MATLAB program . but thanks for your reply.