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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…
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Stochastic integral of complex-valued processes. Levy's characterization of a multidimensional Brownian motion.
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Stochastic differential of a product.
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A note on the integrability in the Ito-Doeblin formula. The two-dimensional case.
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The multidimensional Ito-Doeblin formula
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The Kolmogorov backward equation.
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The Wiener integral. Area under a Brownian motion path.
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Stochastic integral with respect to an Ito process. The Ito-Doeblin formula. Quadratic variation of an Ito process.
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