Search for tag: "fractional Brownian motion"

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Lecture 6: Functional limit theorems for… duration 1 hour 52 minutes Lecture 6: Functional limit theorems for… Lecture 6: Functional limit theorems for financial markets with long-range dependence	Lecture 6: Functional limit theorems for financial markets with long-range dependence * General conditions of weak convergence - Convergence of sums - Multiplicative scheme* Monotonicity along the diagonal of a triangular matrix in the Cholesky decomposition of a positive definite… weak convergence cholesky decomposition toeplitz matrix stationary processes fractional brownian motion high-frequency trading From Tiziano Vargiolu 8 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
Lecture 1: Standard stochastic differential… duration 1 hour 49 minutes Lecture 1: Standard stochastic differential… Lecture 1: Standard stochastic differential equations with fBm	Lecture 1: Standard stochastic differential equations with fBm 1. Integration with respect to fBm. 2. Elements of fractional and fractional stochastic calculus. 3. Stochastic differential equations with fBm and smooth coefficients. fractional brownian motion fractional calculus fractional stochastic calculus stochastic differential equations From Tiziano Vargiolu 32 plays 0