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Anyone sitting this fall? How is the prep going? Feel free to share your study strategy/challenges below!
I’m sorry. I can relate. Using any study aids or just source materials? Hoping to get some more persons in here
If Wt (wiener) is normally distributed with mean 0 and variance t, why is Wt+h|(Wt=x) normally distributed with mean x and variance h? Is this as a result of the conditional expectation martingale property?
Martingales comes way after. What you are quoting implies from the definition of the Wiener process. (stationary increments etc..)
Just go over the problems in Chin a few times for stochastic calculus.
The amount of content is astronomical. This will be my first sitting, and I am quite confident that I won’t pass. There seems to be many fringe topics thrown in that are just driving me up a wall, and they tested quite a few of them on the Spring 2021 sitting. I failed that exam when testing at home.
Does anyone have any tip or trick on determining what transformed variable to use when trying to find a solution using itos lemma
How did folks do at todays sitting (Fall 2021)? That last question was the worst. Maybe I was just burned out
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