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Thumbnail for entry Lecture 62: martingale representation theorem

Lecture 62: martingale representation theorem

duration 27 minutes 42 seconds

Lecture 62: martingale representation theorem

Lecture 62: martingale representation theorem

Lecture 62: martingale representation theorem

The martingale representation theorem in the case of a multidimensional Brownian motion: representation of L^2 martingales and local martingales.

martingale representation theorem
local martingale
filtration generated by a stochastic process
brownian motion
girsanov theorem
girsanov kernel
From  Tiziano Vargiolu 24 plays 0  
Thumbnail for entry Lecture 4: stochastic processes

Lecture 4: stochastic processes

duration 22 minutes 56 seconds

Lecture 4: stochastic processes

Lecture 4: stochastic processes

Lecture 4: stochastic processes

Filtration. Stochastic process. Stochastic process adapted to a filtration. Natural filtration of a stochastic process. Martingales, submartingales and supermartingales: definition and properties.

filtration
filtration generated by a stochastic process
natural filtration of a stochastic process
stochastic process
stochastic process adapted to a filtration
martingales
supermartingale
submartingale
jensen inequality
From  Tiziano Vargiolu 26 plays 0