a continuous versio of Quant面试题:喝醉了(2.5星)

来源: 雪山飞鱼 2009-08-07 13:02:36 [] [博客] [旧帖] [给我悄悄话] 本文已被阅读: 次 (233 bytes)
assume the drunk guy follows brownian motion, then to find E[\tau], we just need to solve a differential equation, since it is just one-dimension, the equation is just ODE:
-1/2 u_xx=0
u(0)=u(100)=0

E[\tau]=E[1]=99

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a mistake:-1/2 u_xx=0 should be -1/2 u_xx=1 -雪山飞鱼- 给 雪山飞鱼 发送悄悄话 雪山飞鱼 的博客首页 (0 bytes) () 08/08/2009 postreply 09:26:34

用计算机模拟了一下 -haobanfa- 给 haobanfa 发送悄悄话 (0 bytes) () 08/15/2009 postreply 16:23:49

1,000,000次 iteration 的结果是 98.6 步,你的答案因该是对的,只不过 -haobanfa- 给 haobanfa 发送悄悄话 (59 bytes) () 08/15/2009 postreply 16:27:31

回复:1,000,000次 iteration 的结果是 98.6 步,你的答案因该是对的,只不过 -雪山飞鱼- 给 雪山飞鱼 发送悄悄话 雪山飞鱼 的博客首页 (478 bytes) () 08/18/2009 postreply 10:00:58

回复:a continuous versio of Quant面试题:喝醉了(2.5星) -tianxing- 给 tianxing 发送悄悄话 (4 bytes) () 10/24/2009 postreply 23:48:32

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