Search for tag: "density of probabilities"
Lectures 27-28: the Girsanov theorem and the martingale representation theoremLevy's characterization of Brownian motion. Drift transformation in the Brownian motion and the Girsanov theorem. The martingale representation theorem. Representation of densities of…
From Tiziano Vargiolu
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Lecture 26: change of probability with a filtrationEquivalent probability measures. Conditional expectation and martingales under the new probability.
From Tiziano Vargiolu
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Lecture 24: change of probabilityAbsolutely continuous probability measures. Measures defined by a density. The Radon-Nykodym theorem. Expectation under the new probability.
From Tiziano Vargiolu
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