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Ph.D. course "The mathematics of energy markets" - Lecture 5Ito 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…
From Tiziano Vargiolu
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Ph.D. course "The mathematics of energy markets" - Lecture 4Brownian motion. Nondifferentiability of paths. The stochastic integral and the Ito isometry.
From Tiziano Vargiolu
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Lecture 34: multidimensional stochastic calculusMultidimensional stochastic integrals: definition, linearity, mean and covariance matrix, martingale property, cross-variation.
From Tiziano Vargiolu
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