Search for tag: "cross variation"

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Lecture 57: Levy's characterization duration 36 minutes 2 seconds Lecture 57: Levy's characterization Lecture 57: Levy's characterization	Lecture 57: Levy's characterization Stochastic integral of complex-valued processes. Levy's characterization of a multidimensional Brownian motion. complex-valued stochastic integral +6 More From Tiziano Vargiolu 16 plays 0
Lecture 45b: stochastic differential of a product duration 9 minutes 45 seconds Lecture 45b: stochastic differential of a product Lecture 45b: stochastic differential of a product	Lecture 45b: stochastic differential of a product Stochastic differential of a product. stochastic differential +2 More From Tiziano Vargiolu 14 plays 0
Lecture 44: multidimensional Ito-Doeblin formula duration 16 minutes 21 seconds Lecture 44: multidimensional Ito-Doeblin formula Lecture 44: multidimensional Ito-Doeblin formula	Lecture 44: multidimensional Ito-Doeblin formula The multidimensional Ito-Doeblin formula ito-doeblin formula +3 More From Tiziano Vargiolu 18 plays 0
Lecture 41: generalized stochastic integral duration 48 minutes 17 seconds Lecture 41: generalized stochastic integral Lecture 41: generalized stochastic integral	Lecture 41: generalized stochastic integral General definition and properties of stochastic integral. stochastic integral +4 More From Tiziano Vargiolu 34 plays 0
Lecture 42: multidimensional Ito processes duration 34 minutes 40 seconds Lecture 42: multidimensional Ito processes Lecture 42: multidimensional Ito processes	Lecture 42: multidimensional Ito processes Multidimensional stochastic integrals and Ito processes. Quadratic variation and cross variation. stochastic integral +3 More From Tiziano Vargiolu 24 plays 0
Lecture 34: multidimensional stochastic calculus duration 1 hour 22 minutes Lecture 34: multidimensional stochastic calculus Lecture 34: multidimensional stochastic calculus	Lecture 34: multidimensional stochastic calculus Multidimensional stochastic integrals: definition, linearity, mean and covariance matrix, martingale property, cross-variation. stochastic integral +5 More From Tiziano Vargiolu 26 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 +1 More From Tiziano Vargiolu 20 plays 0