Hi, Just wondering anyone could help me with these 103 questions. 1. 2000 April Q2. I'm not following the answer at all. I've totally forgotten about the properties of joint normal distribution. 2. 2001 September Q2 (ii) (a) The second expression in the question has a type, i.e. it should be B1(t) rather than B(t), right? (b) anyone knows why the density of M1 is 2(phi)(y)? 3. 2003 April Q3 (ii) anyone knows why Var(X_nh) = nD^2 X 4p(1-p)? Also, what's going on in (iii) 4. 2004 September Q10 (iii) (b) not following the answer. what's going on here? (iv) where is optional stopping theorem covered? Thanks!
Jensen - Chapters 6 and 7 are from Subject 103 ActStudent 1) OK, do you have a question? Personally, I would say this stuff is low priority 2) Did you deliberately write type instead of typo - very funny! See X2.1 - no typos here and you are given the running maximum of Brownian motion (you used to need to know it in 103) and besides I think it is in Tables - they will give you it if this comes up. 3) This is a random walk that goes up with prob p and down with prob 1-p. We can calculate the variance in the same way we would any RV. Work out the mean, work out the seconf moment and then use V[X] = E[X^2] - E^2[X] 4) You don't need to worry about the optional stopping theorem. It sounds like you're concentrating on the lower priority topics. Make sure you can do X2.1, X2.3, 103 A03 Q5, 103 S02 Q8, X4.3, 103 S04 Q10 (i) & (ii), 103 S04 Q4 (i) & (iii), 103 A04 Q5 Also, make sure you can do the CT8 past papers long befoe you delve into 103 ones, John
