Girsanov: Martingales and Brownian Motion

Related lectures (32)

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

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

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

Explores sub- and supermartingales, stopping times, and their applications in stochastic processes.

Covers the proof of the martingale convergence theorem and the convergence of the martingale sequence almost surely.

Explores the proof of the martingale convergence theorem and the concept of stopping time in square-integrable martingales.

Explores the construction of Brownian motion with continuous trajectories and the dimension of its zero set.

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

Covers the fundamental theorems of asset pricing, including EMM, self-financing strategies, risk-neutral pricing, and completeness of markets.

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