27:42 duration 27 minutes 42 seconds
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.
33:33 duration 33 minutes 33 seconds
Lecture 58: the Girsanov theorem
The Girsanov theorem in the multidimensional case. Novikov's condition.
01:22:24 duration 1 hour 22 minutes
Lectures 27-28: the Girsanov theorem and the…
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…