Local martingale

Related lectures (32)

Page 2 of 4

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

Covers stochastic integrals, emphasizing isometry and continuity properties in martingales and different spaces.

Covers martingales, stochastic integration, and localizing processes using stopping times.

Covers Stochastic Calculus, focusing on Itô's Formula, Stochastic Differential Equations, martingale properties, and option pricing.

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

Explores the optional stopping theorem for martingales and stepping times, emphasizing its applications and implications.

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

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

Explores the generalization of martingales to sub- and supermartingales with a focus on convergence properties.

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