Charles Smith

Possible Upstream Tracker AD Issue

19

Hello, I'm working on trying to solve Forward Backward Stochastic Differential Equations. The problem is as such: -dY_t = (A_t*Y_t + B_t*Z_t + C_t)dt - Z_tdW_t Y_T ~ N(m, s)...

Quadrature Time to Integrate as function of N and tolerance

4

Hi, I'm trying to find the mean of a dirichlet distribution using Quadrature. However, I'm finding that the time to complete increases drastically as a function of N. For example...

EnsembleProblem with timepoint_meanvar errors due to internal mutation

6

Hi, Is there a way to combine the ensembleproblem command to solve SDEs in combination with Flux Neural Nets. Right now, when I try to combine them, I get the...

Exchange Code

3

I can't figure out how to download the exchange code for trades using the getTicks function. Is this possible? Thank you!

Quadrature with Dirichlet and Matrix Beta

4

Hello, I'm trying to use quadrature to compute basic statistics for different multivariate distributions such as Dirichlet and Matrix Beta, such as the sum(x_i), variance(sum(x_i)) and mean of sqrt(sum(x_i^2)) where...

I attached an example below. The example works great, but if I want to modify x in the function call, then the function doesn't work. There are real speed gains...