Search for tag: "ito isometry"

Ph.D. course "The mathematics of energy… duration 1 hour 37 minutes Ph.D. course "The mathematics of energy… Ph.D. course "The mathematics of energy markets" - Lecture 5	Ph.D. course "The mathematics of energy markets" - Lecture 5 Ito processes and Ito-Doeblin formula. Stochastic differential equations. Back to real options in energy markets: an irreversible installation example with market impact, solved with singular… ito process ito-doeblin formula ito isometry singular control From Tiziano Vargiolu 4 plays 0
Ph.D. course "The mathematics of energy… duration 1 hour 25 minutes Ph.D. course "The mathematics of energy… Ph.D. course "The mathematics of energy markets" - Lecture 4	Ph.D. course "The mathematics of energy markets" - Lecture 4 Brownian motion. Nondifferentiability of paths. The stochastic integral and the Ito isometry. brownian motion quadratic variation stochastic integral ito isometry From Tiziano Vargiolu 3 plays 0
Lecture 34: multidimensional stochastic calculus duration 1 hour 22 minutes Lecture 34: multidimensional stochastic calculus Lecture 34: multidimensional stochastic calculus	Lecture 34: multidimensional stochastic calculus Multidimensional stochastic integrals: definition, linearity, mean and covariance matrix, martingale property, cross-variation. stochastic integral linearity covariance operator ito isometry martingale property cross variation From Tiziano Vargiolu 19 plays 0