Search for tag: "fractional brownian motion"

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 -… weak convergence +5 More From Tiziano Vargiolu July 15th, 2022 11 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.… hurst coefficient +5 More From Tiziano Vargiolu July 11th, 2022 8 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… fractional brownian motion +3 More From Tiziano Vargiolu July 8th, 2022 46 plays 0

Lecture 6: Functional limit theorems for financial markets with long-range dependence