Itô's lemma

Related lectures (22)

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

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

Covers Ito's Lemma variants and proofs, demonstrating equality and convergence in probability.

Explores stochastic calculus, emphasizing integrals, processes, martingales, and Brownian motion.

Explores asset pricing theorems and the Black-Scholes formula derivation in discrete time economies.

Covers the stability analysis of ODEs using numerical methods and discusses stability conditions.

Explores the derivation of the Fokker-Planck equation and its applications in stochastic differential equations.

Explores thermalization, ETH testing in spin chains, information loss in black holes, and challenges in quantum gravity.