Search for tag: "quadratic variation"
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 57: Levy's characterizationStochastic integral of complex-valued processes. Levy's characterization of a multidimensional Brownian motion.
From Tiziano Vargiolu
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Lecture 42: multidimensional Ito processesMultidimensional stochastic integrals and Ito processes. Quadratic variation and cross variation.
From Tiziano Vargiolu
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Lecture 16: the Ito-Doeblin formulaStochastic integral with respect to an Ito process. The Ito-Doeblin formula. Quadratic variation of an Ito process.
From Tiziano Vargiolu
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Lecture 14: stochastic differentialIto processes: stochastic differential and its uniqueness, drift and diffusion terms.
From Tiziano Vargiolu
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Lecture 12: examples of stochastic integralsStochastic integrals of simple processes. Stochastic integral of Brownian motion.
From Tiziano Vargiolu
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Lecture 10: stochastic integral for general processesThe space M^2([0,T]). General definition of stochastic integral as a L^2 limit. Quadratic variation of a stochastic integral.
From Tiziano Vargiolu
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Lecture 6: quadratic variationMeasuring variability: total (first) variation and quadratic variation. Quadratic variation of a Brownian motion. Non-differentiability of Brownian motion paths.
From Tiziano Vargiolu
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