Question: 9.2. Sampling bias la Cameron-Martin. We consider a Brownian motion with drift 0 = 1: B = B+t. (a) Generate a sample S of

9.2. Sampling bias la Cameron-Martin. We consider a Brownian motion with drift 0 = 1: B = B+t. (a) Generate a sample S of 100,000 paths for (B, t = [0,1]) using a 0.01 dis- cretization. (b) Using the function numpy.random. choice, sample 1,000 paths in S not uni- formly but proportionally to their weight: M(B) = e-B+1/2 Again you will need to normalize the weights M(B) so that the sum over the 100,000 paths is 1. Let's call this new sample S. (c) Draw the histogram of B/2 on the sample 5. It should look like a Gaussian PDF with mean 0 and variance 1/2.

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Mathematics Questions!

MULTIVARIATE DISTRIBUTION THEORY ( b ) ( i ) Describe the two computational approaches for discriminant analysis. ( 4 marks ) ( ii ) Describe the method for assessing overall model goodness of fit...

can someone solve this Modern workstations typically have memory systems that incorporate two or three levels of caching. Explain why they are designed like this. [4 marks] In order to investigate...

Q1. You have identified a market opportunity for home media players that would cater for older members of the population. Many older people have difficulty in understanding the operating principles...

9.2. Sampling bias a la Cameron-Martin. We consider a Brownian motion with drift 0 = 1: Be = Bett . (a) Generate a sample S of 100,000 paths for (By,t E [0, 1]) using a 0.01 dis- cretization. (b)...

Hello, solving the Rhone Poulenc Rorer case implies usually the use of montecarlo smulation to valuate the CVR. However the professor said to use only Black and Scholes and Binomial combined. I know...

Course: Human Resources Management Project title: Reputation and Attraction Project assignment resources: Employer brand management I need a presentation with a ppt file, it would be great if it was...

Answer the following questions based on the article and explain your answer. Correlations among Stress, Physical Activity and Nutrition: School Employee Health Behavior Are the research problems,...

HI. Course: Human Resources Management Project title: Reputation and Attraction Project assignment resources: Employer brand management You just need to read this article. Write a 1-page report. I...

HI. Course: Human Resources Management Project title: Reputation and Attraction Project assignment resources: Employer brand management I have uploaded a 10 page article. PPT It is necessary to...

All Mopped Up Company has journalized the adjusting entries for the period ending December 31, 2018, and posted the adjustments to the following T-accounts. (Click the icon to view the T-accounts.)...

Study the combined effect of the two viscous flows in Fig. 4.16. That is, find u(y) when the upper plate moves at speed V and there is also a constant pressure gradient (dp/dx). Is superposition...

Which of the following techniques is NOT a technique for dealing with a bottleneck? O A. Increase the capacity of the constraint. OB. Have cross-trained employees available to keep the constraint at...

a n = 5 n 9 - n lim n a n = Vewing Saried Work Aprent to Last Aesponse 2 . [ - / 1 . 5 Points ] Determine whether the sequence converges or diverges. If it converges, find the limit . ( If the...

Examine the following formal descriptions of sets so that you understand which members they contain. Write a short informal English description of each set. a. {1, 3, 5, 7, . . . } b. { . . . ,4,2,...

Use the data in WAGEPAN.DTA to answer the following questions. (i) Using lwage as the dependent variable, estimate a model that only contains an intercept and the year dummies d81 through d87. Use...

When bonding teeth, orthodontists must maintain a dry field. A new bonding adhesive (called Smart bond) has been developed to eliminate the necessity of a dry field. However, there is concern that...

The Manhattan distance between two points (a, b) and (c, d) in the plane is |a c| + |b d|. Using Manhattan distance to define the cost between every pair of points, find an optimal traveling...

Determine which chi-square test is appropriate in each of the following settings. Explain your reasoning. a. Does chocolate help heart-attack victims live longer? Researchers in Sweden randomly...

Conduct a Literature Review of Diversity Trends in the Workplace that focus on those trends you have observed in your workplace. You want to identify a minimum of 5 peer - reviewed articles, bringing...

Let \(M \in \mathcal{M}_{T, \text { loc }}^{c}\) and \(f(t, \omega)\) be an adapted cdlg (right continuous, finite left limits) process and \(t \in[0, T]\). a) Show that \(f \in...

Let \(\left(N_{t}, \mathscr{F}_{t}ight)_{t \geqslant 0}\) be a continuous local martingale. Show that \(\tau_{n}:=\left\{s \geqslant 0:\left|N_{t}ight| \geqslant night\}\) is a localizing sequence...

Let X n , X , Y : i g h t a r r o w R , n 1 X n , X , Y : i g h t a r r o w R , n 1 , be random variables. If ra \left or missing i lim E(f(x)g(Y)) = E(f(x)g(Y)) for all = C(R), g = B(R), n-co

=+2. A random sample of ten homes in a particular area, each heated with natural gas, is selected, and the amount of gas (therms) used during January is determined for each home. The resulting...

=+b. Repeat the probability calculation in part (a) for samples of size n550, n5100, and n51000. (Use the normal approximation to the binomial.)

=+a. For random samples of size n510, calculate the area under the sampling distribution curve for x between the values 2 1 and 1 1. That is, find the probability that the sample mean lies within...