Search for tag: "stochastic integral"

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Ph.D. course "The mathematics of energy… duration 1 hour 25 minutes Ph.D. course "The mathematics of energy… Ph.D. course "The mathematics of energy markets" - Lecture 4	Ph.D. course "The mathematics of energy markets" - Lecture 4 Brownian motion. Nondifferentiability of paths.… brownian motion +3 More From Tiziano Vargiolu May 11th, 2023 5 plays 0
Lecture 57: Levy's characterization duration 36 minutes 2 seconds Lecture 57: Levy's characterization Lecture 57: Levy's characterization	Lecture 57: Levy's characterization Stochastic integral of complex-valued processes.… complex-valued stochastic integral +6 More From Tiziano Vargiolu May 18th, 2022 17 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… stochastic integral +4 More From Tiziano Vargiolu April 28th, 2022 35 plays 0
Lecture 42: multidimensional Ito processes duration 34 minutes 40 seconds Lecture 42: multidimensional Ito processes Lecture 42: multidimensional Ito processes	Lecture 42: multidimensional Ito processes Multidimensional stochastic integrals and Ito… stochastic integral +3 More From Tiziano Vargiolu April 28th, 2022 25 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.… local martingale +2 More From Tiziano Vargiolu April 27th, 2022 29 plays 0
Lecture 38: stopped stochastic processes duration 54 minutes 6 seconds Lecture 38: stopped stochastic processes Lecture 38: stopped stochastic processes	Lecture 38: stopped stochastic processes Stopped stochastic processes. A stopped… stopping time +5 More From Tiziano Vargiolu April 21st, 2022 29 plays 0
Lecture 34: multidimensional stochastic calculus duration 1 hour 22 minutes Lecture 34: multidimensional stochastic calculus Lecture 34: multidimensional stochastic calculus	Lecture 34: multidimensional stochastic calculus Multidimensional stochastic integrals:… stochastic integral +5 More From Tiziano Vargiolu April 14th, 2022 29 plays 0
Lecture 16: the Ito-Doeblin formula duration 1 hour 16 minutes Lecture 16: the Ito-Doeblin formula Lecture 16: the Ito-Doeblin formula	Lecture 16: the Ito-Doeblin formula Stochastic integral with respect to an… stochastic integral +4 More From Tiziano Vargiolu March 16th, 2022 38 plays 0
Lecture 12: examples of stochastic integrals duration 30 minutes 0 seconds Lecture 12: examples of stochastic integrals Lecture 12: examples of stochastic integrals	Lecture 12: examples of stochastic integrals Stochastic integrals of simple processes.… stochastic integral +3 More From Tiziano Vargiolu March 10th, 2022 24 plays 0
Lecture 11: Stochastic integrals and conditioning duration 54 minutes 47 seconds Lecture 11: Stochastic integrals and conditioning Lecture 11: Stochastic integrals and conditioning	Lecture 11: Stochastic integrals and conditioning The partition property. Covariance and… partition property +3 More From Tiziano Vargiolu March 10th, 2022 26 plays 0
Lecture 9: stochastic integral as a stochastic… duration 33 minutes 39 seconds Lecture 9: stochastic integral as a stochastic… Lecture 9: stochastic integral as a stochastic process	Lecture 9: stochastic integral as a stochastic process The stochastic integral is a continuous… continuity +2 More From Tiziano Vargiolu March 9th, 2022 34 plays 0
Lecture 10: stochastic integral for general… duration 48 minutes 54 seconds Lecture 10: stochastic integral for general… Lecture 10: stochastic integral for general processes	Lecture 10: stochastic integral for general processes The space M^2([0,T]). General definition of… stochastic integral +2 More From Tiziano Vargiolu March 9th, 2022 33 plays 0