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Category: Probability

Entropy and Boltzmann’s Distribution

Entropy and Relative Entropy occur sufficiently often in these notes to justify a (somewhat) self-contained section. We cover the discrete case which is the most intuitive.

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Author appliedprobabilityPosted on July 5, 2017July 5, 2017Categories ProbabilityLeave a comment on Entropy and Boltzmann’s Distribution

Ito’s Formula: a heuristic derivation

  • A heuristic look at the stochastic integral.
  • heuristic derivation of Itô’s formula.

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Author appliedprobabilityPosted on April 12, 2017May 18, 2017Categories Control for Finance, ProbabilityLeave a comment on Ito’s Formula: a heuristic derivation

Basic Probability Bounds

  • Markov’s Inequality; Chebychev’s Inequality; Chernoff’s Bound.
  • Bounds for the Poisson Distribution.

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Author appliedprobabilityPosted on April 12, 2017August 13, 2017Categories ProbabilityLeave a comment on Basic Probability Bounds

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