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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 RadonNikodym 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, $E \leftX_t^1  X_t^2 \right$ 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 
Oct
23 
comment 
Processes approximating a reflected brownian motion.
One thought: the reflected BM is a standard BM plus a local time term at zero. Using the interpretation of local time in terms of downcrossings should possibly do the trick. 