Lecture

Martingales: Exponential Martingales

In course

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Description

This lecture covers the concept of martingales, focusing on exponential martingales. It explains the Radon-Nikodym theorem, the existence of measurable functions, and the properties of martingales under different probability measures. The instructor discusses the conditions for a martingale to be positive and the Novikov theorem for surmartingales.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_6boej2n4

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