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 Dec 22 awarded Nice Answer Nov 23 comment When do people actually use the maximum entropy distribution? Although don't they try to minimize entropy? With the understanding that finding a low entropy Radon-Nikodym derivative is equivalent to finding a martingale measure that deviates as little as possible from the physical probability measure. Aug 20 awarded Nice Question Jul 2 awarded Curious May 4 accepted Usefulness of Frechet versus Gateaux differentiability or something in between. May 4 awarded Nice Question Oct 9 awarded Popular Question Dec 2 comment total variation distance between two solutions of SDE Those random variables have distribution functions which are discontinuous. Dec 1 comment total variation distance between two solutions of SDE Yeah but your construction of $\mu$ and $\nu$ is a weak one, in that it says nothing about dependence on particular values of $\omega \in \Omega$. Using Grownwall's inequality you can get a convergence rate for (strong) $L^1$ convergence, $E \left|X_t^1 - X_t^2 \right|$ tends to zero in some sense. This implies total variation convergence. Dec 1 comment total variation distance between two solutions of SDE Isn't a bound on $|X_t^1 - X_t^2|$ considerably stronger than a bound in total variation distance? One is strong and the other is weak? Nov 29 awarded Critic Nov 19 comment Properties of the Euler Discretization of a diffusion Also, do you know any general references about convergence properties for optimal stopping problems? For example, the above kind of uniform convergence is something I need, but by itself does not imply convergence of optimal stopping, since i.e. hitting times aren't continuous with respect to the uniform norm. Nov 19 comment Properties of the Euler Discretization of a diffusion Thanks, this is the convergence that I was most interested in. Do you have a reference for this fact, and is the convergence rate $O(t)$? Nov 17 comment Properties of the Euler Discretization of a diffusion Thanks for your answer. It seems like strong convergence doesn't have much to say about convergence of optimal stopping problems, unless you can leverage some additional information, like martingality, to use a maximal inequality. Kloeden/Platen also don't have anything to say about this. Do you know of anything in this direction? Nov 17 asked Properties of the Euler Discretization of a diffusion Jul 3 revised Compactness of the set of densities of equivalent martingale measures added 9 characters in body Jul 3 answered Compactness of the set of densities of equivalent martingale measures Jun 14 answered Blackbox Theorems Mar 27 awarded Popular Question Dec 5 awarded Yearling