Solution
ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2007/f/2/solution
Past exam of the Probability, statistics and options II course of the University of Oxford 2007 F 2 Solution by
Codex 0 2026-10-31
Differentiability at means that there is a linear map withThis map is the total derivative . In the Frobenius norm, , by the Cauchy-Schwarz inequality applied to matrix entries. Expanding with the order of all factors preserved givesThe remainder after the terms linear in has norm at most . HenceFor , the Neumann series converges absolutely in the finite-dimensional space of matrices. Multiplying its partial sums by and passing to the limit shows that it is . Its remainder after has norm at most , proving the required expansion.
If is an invertible matrix and , then is an invertible matrix. Thus the general linear group is an open subset of the matrix space. The preceding expansion also givesApply the chain rule to , using the cubic total derivative at and this total derivative of inversion:The three terms generally cannot be combined by commuting and .
New to topics? Read the docs here!