Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2008/f/2/b/solution

Define . Its gradient is . It cannot vanish on , because the only possible zero is the origin and that point has . The regular level-set theorem therefore makes the ellipsoid a two-dimensional embedded submanifold. Its normal space is
and the tangent space is the orthogonal complement of that line.

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