Geometric Brownian motion

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Related lectures (32)

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Brownian Motion: Modeling and Analysis

Explores the analysis of Brownian motion through different models and Markov processes.

Hausdorff Dimension and Brownian Motion

Explores Hausdorff dimension and its application to Brownian motion sets, emphasizing the importance of understanding set dimensions in stochastic processes.

Doob's Decomposition Theorem

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

Martingales and Brownian Motion: Global Behavior and Zero Set Length

Explores the behavior of Brownian motion and its zero set length.

Stochastic Calculus: Interest Rate Models

Provides an overview of stochastic calculus and its applications in interest rate models and financial modeling.

Stopping Times: Martingales and Brownian Motion

Explores stopping times in martingales and Brownian motion, discussing convergence properties and the strong Markov property.

Martingales and Brownian Motion: Reflected and Absorbed Brownian Motion

Explores the reflected and absorbed Brownian motion transformations and Markov properties.

Convergence of Adaptive Langevin using hypocoercivity

Covers the convergence of Adaptive Langevin dynamics using hypocoercive techniques and explores the Central Limit Theorem.

Maximum Entropy Principle: Stochastic Differential Equations

Explores the application of randomness in physical models, focusing on Brownian motion and diffusion.

Stochastic Differential Equations

Explores Stochastic Differential Equations, discussing existence, uniqueness, Lipschitz properties, and explicit solutions.