Search for tag: "local martingale"

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Lecture 64: stochastic volatility models duration 1 hour 9 minutes Lecture 64: stochastic volatility models Lecture 64: stochastic volatility models	Lecture 64: stochastic volatility models The martingale representation theorem and stochastic volatility models. local martingale martingale representation theorem martingale property stochastic volatility From Tiziano Vargiolu 11 plays 0
Lecture 62: martingale representation theorem duration 27 minutes 42 seconds Lecture 62: martingale representation theorem Lecture 62: martingale representation theorem	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. martingale representation theorem local martingale filtration generated by a stochastic process brownian motion girsanov theorem girsanov kernel From Tiziano Vargiolu 24 plays 0
Lecture 41: generalized stochastic integral duration 48 minutes 17 seconds Lecture 41: generalized stochastic integral Lecture 41: generalized stochastic integral	Lecture 41: generalized stochastic integral General definition and properties of stochastic integral. stochastic integral linearity local martingale quadratic variation cross variation From Tiziano Vargiolu 30 plays 0
Lecture 40: local martingales duration 1 hour 8 minutes Lecture 40: local martingales Lecture 40: local martingales	Lecture 40: local martingales Definition of local martingale. Construction of the stochastic integral for a process with locally square integrable sample paths. local martingale stopping time stochastic integral From Tiziano Vargiolu 25 plays 0