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Related lectures (32)

Page 3 of 4

Martingale Convergence Theorem

Explains the martingale convergence theorem and its applications in probability theory.

Langevin dynamics: Path Integral Methods

Covers Langevin dynamics, Fokker-Planck equation, solving the Langevin equation, and efficiency of Langevin sampling in molecular dynamics.

Martingales and Brownian Motion

Explores the concept of martingales and their relation to Brownian motion through symmetric simple random walks and discusses the potential positive outcomes from the current crisis.

Girsanov: Martingales and Brownian Motion

Explores martingales, Brownian motion, and measure transformations in probability theory.

Doob's Martingale

Covers the concept of Doob's martingale and its properties, including integrability and convergence theorem.

Martingales and Brownian Motion

Discusses convergence, martingales, Brownian motion, joint laws, testing procedures, and stop times.

Stochastic Integration: First Steps

Covers stochastic integration, process bracket, martingales, and variations in submartingales.

Martingales and Brownian Motion: Drift and Exit Time

Explores Brownian motion with drift, exit probabilities, and average exit times from intervals.

Martingale Convergence

Explores martingale convergence, discussing the conditions for convergence and variance in martingales.

Doob's Decomposition Theorem

Covers Doob's decomposition theorem for submartingales and explores Brownian motion properties, quadratic variation, and continuous martingales.