Search for tag: "brownian motion"

Lecture 6.2: Levy-Processes and non-Gaussian Ornstein-Uhlenbeck processes

Simulation of Poisson and compound Poisson…

From  Tiziano Vargiolu May 26th, 2023 12 plays 0  

Lecture 2 - Simulation of basic processes

Examples: simulation from the multidimensional…

From  Tiziano Vargiolu May 22nd, 2023 11 plays 0  

Ph.D. course "The mathematics of energy markets" - Lecture 4

Brownian motion. Nondifferentiability of paths.…

From  Tiziano Vargiolu May 11th, 2023 5 plays 0  

Lecture 6: Functional limit theorems for financial markets with long-range dependence

* General conditions of weak convergence -…

From  Tiziano Vargiolu July 15th, 2022 11 plays 0  

Lecture 2: Equations with unbounded coefficients and H > 1/2

1. Cox-Ingersoll-Ross equations with fBm. 2.…

From  Tiziano Vargiolu July 11th, 2022 8 plays 0  

Lecture 1: Standard stochastic differential equations with fBm

1. Integration with respect to fBm. 2. Elements…

From  Tiziano Vargiolu July 8th, 2022 45 plays 0  

Lecture 62: martingale representation theorem

The martingale representation theorem in…

From  Tiziano Vargiolu May 23rd, 2022 35 plays 0  

Lecture 58: the Girsanov theorem

The Girsanov theorem in the multidimensional…

From  Tiziano Vargiolu May 18th, 2022 38 plays 0  

Lecture 57: Levy's characterization

Stochastic integral of complex-valued processes.…

From  Tiziano Vargiolu May 18th, 2022 17 plays 0  

Lecture 45: consequences of the Ito-Doeblin formula

A note on the integrability in the…

From  Tiziano Vargiolu May 4th, 2022 17 plays 0  

Lecture 32: cross-variation

Cross-variation: definition.…

From  Tiziano Vargiolu April 13th, 2022 21 plays 0  

Lecture 31: the Cholesky decomposition

The Cholesky decomposition

From  Tiziano Vargiolu April 13th, 2022 21 plays 0  

Lecture 30: multidimensional Brownian motion

Definitions of multidimensional standard…

From  Tiziano Vargiolu April 11th, 2022 22 plays 0  

Lectures 27-28: the Girsanov theorem and the martingale representation theorem

Levy's characterization of Brownian…

From  Tiziano Vargiolu April 7th, 2022 37 plays 0  

Lecture 16: the Ito-Doeblin formula

Stochastic integral with respect to an…

From  Tiziano Vargiolu March 16th, 2022 38 plays 0  

Lecture 12: examples of stochastic integrals

Stochastic integrals of simple processes.…

From  Tiziano Vargiolu March 10th, 2022 24 plays 0