Search for tag: "ito process"

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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
Lecture 44: multidimensional Ito-Doeblin formula duration 16 minutes 21 seconds Lecture 44: multidimensional Ito-Doeblin formula Lecture 44: multidimensional Ito-Doeblin formula	Lecture 44: multidimensional Ito-Doeblin formula The multidimensional Ito-Doeblin formula ito-doeblin formula cross variation ito process multidimensional ito formula From Tiziano Vargiolu 17 plays 0
Lecture 42: multidimensional Ito processes duration 34 minutes 40 seconds Lecture 42: multidimensional Ito processes Lecture 42: multidimensional Ito processes	Lecture 42: multidimensional Ito processes Multidimensional stochastic integrals and Ito processes. Quadratic variation and cross variation. stochastic integral ito process quadratic variation cross variation From Tiziano Vargiolu 23 plays 0
Lecture 16: the Ito-Doeblin formula duration 1 hour 16 minutes Lecture 16: the Ito-Doeblin formula Lecture 16: the Ito-Doeblin formula	Lecture 16: the Ito-Doeblin formula Stochastic integral with respect to an Ito process. The Ito-Doeblin formula. Quadratic variation of an Ito process. stochastic integral quadratic variation ito-doeblin formula ito process brownian motion From Tiziano Vargiolu 31 plays 0
Lecture 14: stochastic differential duration 1 hour 11 minutes Lecture 14: stochastic differential Lecture 14: stochastic differential	Lecture 14: stochastic differential Ito processes: stochastic differential and its uniqueness, drift and diffusion terms. ito process stochastic differential drift diffusion quadratic variation From Tiziano Vargiolu 23 plays 0