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Lecture 3: “Sandwiched” equations duration 1 hour 42 minutes Lecture 3: “Sandwiched” equations Lecture 3: “Sandwiched” equations	Lecture 3: “Sandwiched” equations What drifts allow to consider low values of H in SDE. sandwiched equations hurst coefficient drift From Tiziano Vargiolu 4 plays 0
Lecture 2: Equations with unbounded coefficients… duration 1 hour 41 minutes Lecture 2: Equations with unbounded coefficients… Lecture 2: Equations with unbounded coefficients and H > 1/2	Lecture 2: Equations with unbounded coefficients and H > 1/2 1. Cox-Ingersoll-Ross equations with fBm. 2. Equations with unbounded drift. 3. Reflected Ornstein-Uhlenbeck equations. hurst coefficient drift cox-ingersoll-ross fractional brownian motion reflected processes ornstein-uhlenbeck From Tiziano Vargiolu 5 plays 0
Lectures 27-28: the Girsanov theorem and the… duration 1 hour 22 minutes Lectures 27-28: the Girsanov theorem and the… Lectures 27-28: the Girsanov theorem and the martingale representation theorem	Lectures 27-28: the Girsanov theorem and the martingale representation theorem Levy's characterization of Brownian motion. Drift transformation in the Brownian motion and the Girsanov theorem. The martingale representation theorem. Representation of densities of… levy's characterization theorem brownian motion girsanov theorem girsanov kernel drift martingale representation theorem equivalent probabilities density process density of probabilities From Tiziano Vargiolu 28 plays 0
Lecture 14: stochastic differential duration 1 hour 11 minutes Lecture 14: stochastic differential Lecture 14: stochastic differential	Lecture 14: stochastic differential Ito processes: stochastic differential and its uniqueness, drift and diffusion terms. ito process stochastic differential drift diffusion quadratic variation From Tiziano Vargiolu 22 plays 0