Search for tag: "stochastic differential equations"

5 Media

Lecture 1: Standard stochastic differential… duration 1 hour 49 minutes Lecture 1: Standard stochastic differential… Lecture 1: Standard stochastic differential equations with fBm	Lecture 1: Standard stochastic differential equations with fBm 1. Integration with respect to fBm. 2. Elements of fractional and fractional stochastic calculus. 3. Stochastic differential equations with fBm and smooth coefficients. fractional brownian motion fractional calculus fractional stochastic calculus stochastic differential equations From Tiziano Vargiolu 32 plays 0
Lecture 46: stochastic differential equations duration 28 minutes 25 seconds Lecture 46: stochastic differential equations Lecture 46: stochastic differential equations	Lecture 46: stochastic differential equations Stochastic differential equations in multidimensional spaces. Existence and uniquess theorem. Nonexistence: explosion time. stochastic differential equations strong solution existence and uniqueness explosion time stopping time From Tiziano Vargiolu 12 plays 0
Lecture 23: the Feynman-Kac representation duration 33 minutes 13 seconds Lecture 23: the Feynman-Kac representation Lecture 23: the Feynman-Kac representation	Lecture 23: the Feynman-Kac representation Links between SDEs and PDEs: the Feynman-Kac representation. stochastic differential equations partial differential equations feynman-kac representation markov property From Tiziano Vargiolu 44 plays 0
Lecture 22: Links between SDEs and PDEs duration 27 minutes 33 seconds Lecture 22: Links between SDEs and PDEs Lecture 22: Links between SDEs and PDEs	Lecture 22: Links between SDEs and PDEs The Kolmogorov backward equation. kolmogorov backward equation martingale property parabolic equations partial differential equations ito-doeblin formula stochastic differential equations markov property From Tiziano Vargiolu 22 plays 0
Lecture 20: stochastic differential equations duration 42 minutes 14 seconds Lecture 20: stochastic differential equations Lecture 20: stochastic differential equations	Lecture 20: stochastic differential equations Definition of strong and of pathwise unique solution, existence and uniqueness theorem. stochastic differential equations existence and uniqueness strong solution lipschitz function sublinear growth From Tiziano Vargiolu 25 plays 0