Search for tag: "martingale property"

Lecture 64: stochastic volatility models

The martingale representation theorem and…

From  Tiziano Vargiolu May 25th, 2022 23 plays 0  

Lecture 58: the Girsanov theorem

The Girsanov theorem in the multidimensional…

From  Tiziano Vargiolu May 18th, 2022 38 plays 0  

Lecture 57: Levy's characterization

Stochastic integral of complex-valued processes.…

From  Tiziano Vargiolu May 18th, 2022 17 plays 0  

Lecture 56: Kolmogorov backward equation and Feynman-Kac representation

The Kolmogorov backward equation. The…

From  Tiziano Vargiolu May 16th, 2022 45 plays 0  

Lecture 34: multidimensional stochastic calculus

Multidimensional stochastic integrals:…

From  Tiziano Vargiolu April 14th, 2022 29 plays 0  

Lecture 26: change of probability with a filtration

Equivalent probability measures. Conditional…

From  Tiziano Vargiolu April 6th, 2022 26 plays 0  

Lecture 22: Links between SDEs and PDEs

The Kolmogorov backward equation.

From  Tiziano Vargiolu March 30th, 2022 29 plays 0  

Lecture 9: stochastic integral as a stochastic process

The stochastic integral is a continuous…

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From  Tiziano Vargiolu March 9th, 2022 34 plays 0  

Lecture 5: Brownian martingales

Examples of Brownian martingales:…

From  Tiziano Vargiolu March 3rd, 2022 34 plays 0