由买买提看人间百态

boards

本页内容为未名空间相应帖子的节选和存档,一周内的贴子最多显示50字,超过一周显示500字 访问原贴
Quant版 - 问两道题
相关主题
Matrix question【Probability Problem】一道面试题
两道面试题(math+algorithm)[Ito formula] 一道题求解
Bloomberg的BVAL Quant Developer面试贴个概率题
再问道题目求教Bessel过程
[合集] 向大家请教2个基本的题目(stochastic calculus)brainteaser两道老题
[合集] 问两个题(math)[合集] brainteaser两道老题
Stochastic Differential Equation 1问:三个题目(math)
问个finite difference的问题fixed income jargon
相关话题的讨论汇总
话题: eigenvalue话题: matrix话题: 得到话题: bessel话题: 零解
进入Quant版参与讨论
1 (共1页)
f*****k
发帖数: 353
1
1.Given a diagonalizable square matrix A and a noise matrix E, find
conditions on A and E such that for each eigenvalue L of A, there is an
eigenvalue M of (A+E) such that abs(L-M) < K for a given K. (this is
obviously an open ended question, try to tighten the bounds to the best of
your ability)
开始假设E是diagonlizable的,这样,可以得到一个界,接下来怎么搞?
2.求解:-4 t x'' - x' + 4 t^3 x =0
这个开始找不到代换,直接用幂级数展开,好像只能得到零解
S*********g
发帖数: 5298
2
this is from walleye, right?
For the 2nd one, introduce y=a*t^2.
find a such that the x' term cancels out.

【在 f*****k 的大作中提到】
: 1.Given a diagonalizable square matrix A and a noise matrix E, find
: conditions on A and E such that for each eigenvalue L of A, there is an
: eigenvalue M of (A+E) such that abs(L-M) < K for a given K. (this is
: obviously an open ended question, try to tighten the bounds to the best of
: your ability)
: 开始假设E是diagonlizable的,这样,可以得到一个界,接下来怎么搞?
: 2.求解:-4 t x'' - x' + 4 t^3 x =0
: 这个开始找不到代换,直接用幂级数展开,好像只能得到零解

f*****k
发帖数: 353
3
got it,真是傻了,光想到替换x了,thanks
是walleye,给您发信了,请查收

【在 S*********g 的大作中提到】
: this is from walleye, right?
: For the 2nd one, introduce y=a*t^2.
: find a such that the x' term cancels out.

p*****k
发帖数: 318
4

seems to me it's related to Bessel functions. see e.g.,
http://mathworld.wolfram.com/BesselDifferentialEquation.html
Eq.(6)
with alpha=3/8, beta=i/2, gamma=2, and n=3/16
so the general solution is:
x(t)=t^(3/8)*[C1*I_{3/16}(t^2/2) + C2*I_{-3/16}(t^2/2)],
where I is the modified Bessel function

【在 f*****k 的大作中提到】
: got it,真是傻了,光想到替换x了,thanks
: 是walleye,给您发信了,请查收

f*****k
发帖数: 353
5
Thanks a lot! You two BIG COW do know everything!

【在 p*****k 的大作中提到】
:
: seems to me it's related to Bessel functions. see e.g.,
: http://mathworld.wolfram.com/BesselDifferentialEquation.html
: Eq.(6)
: with alpha=3/8, beta=i/2, gamma=2, and n=3/16
: so the general solution is:
: x(t)=t^(3/8)*[C1*I_{3/16}(t^2/2) + C2*I_{-3/16}(t^2/2)],
: where I is the modified Bessel function

c**********e
发帖数: 2007
6
这个 a为什么cancel不掉?令y=a*t^2得到
x'' + 5/8y x' - x/(4a*a)=0.

【在 S*********g 的大作中提到】
: this is from walleye, right?
: For the 2nd one, introduce y=a*t^2.
: find a such that the x' term cancels out.

x*****i
发帖数: 287
7
同问 怎么用 y=a*t^2. Thanks!
L**********u
发帖数: 194
8
这个好像也不对。
用y作为新的变量,将x看作是y的函数。
呵呵。
这两个题目都没有多少意思,
很明显是一个做计算pde的人出的。
用自己的专业考非专业的人士。

【在 x*****i 的大作中提到】
: 同问 怎么用 y=a*t^2. Thanks!
1 (共1页)
进入Quant版参与讨论
相关主题
fixed income jargon[合集] 向大家请教2个基本的题目(stochastic calculus)
如果你interview一个quant,你期望他C++知道哪些?[合集] 问两个题(math)
看看这道题(probability)Stochastic Differential Equation 1
[合集] 说两道题(probability & options)问个finite difference的问题
Matrix question【Probability Problem】一道面试题
两道面试题(math+algorithm)[Ito formula] 一道题求解
Bloomberg的BVAL Quant Developer面试贴个概率题
再问道题目求教Bessel过程
相关话题的讨论汇总
话题: eigenvalue话题: matrix话题: 得到话题: bessel话题: 零解