Search for tag: "correlated brownian motion"

Lecture 45: consequences of the Ito-Doeblin… duration 46 minutes 2 seconds Lecture 45: consequences of the Ito-Doeblin… Lecture 45: consequences of the Ito-Doeblin formula	Lecture 45: consequences of the Ito-Doeblin formula A note on the integrability in the Ito-Doeblin formula. The two-dimensional case. ito-doeblin formula correlated brownian motion From Tiziano Vargiolu 14 plays 0
Lecture 32: cross-variation duration 28 minutes 7 seconds Lecture 32: cross-variation Lecture 32: cross-variation	Lecture 32: cross-variation Cross-variation: definition. Cross-variation of independent and correlated Brownian motions. cross variation correlated brownian motion From Tiziano Vargiolu 17 plays 0
Lecture 31: the Cholesky decomposition duration 58 minutes 46 seconds Lecture 31: the Cholesky decomposition Lecture 31: the Cholesky decomposition	Lecture 31: the Cholesky decomposition The Cholesky decomposition correlated brownian motion correlation matrix cholesky decomposition From Tiziano Vargiolu 16 plays 0
Lecture 30: multidimensional Brownian motion duration 55 minutes 25 seconds Lecture 30: multidimensional Brownian motion Lecture 30: multidimensional Brownian motion	Lecture 30: multidimensional Brownian motion Definitions of multidimensional standard and correlated Brownian motions: correlation matrix. brownian motion correlated brownian motion correlation matrix From Tiziano Vargiolu 19 plays 0