Martingales and Brownian Motion

About
Privacy
Disclaimer

Graph Chatbot

Related lectures (32)

Page 2 of 4

Sub- and Supermartingales: Theory and Applications

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

Stochastic Calculus: Interest Rate Models

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

Girsanov's Theorem: Numerical Simulation of SDEs

Covers Girsanov's Theorem, absolutely continuous measures, and numerical simulation of Stochastic Differential Equations (SDEs) with applications in finance.

Quadratic Variation: Martingales and Stochastic Integrals

Explores quadratic variation in martingales and stochastic integrals, emphasizing their properties and extensions.

Martingales and Brownian Motion

Explores martingales, Brownian motion, submartingales, descents monitoring, and convergence theorems with practical examples.

Stochastic Integration: First Steps

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

Doob's Decomposition Theorem

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

Martingale-based Methods for Stochastic Systems

Explores martingales in stochastic systems, focusing on formal analysis, termination analysis, and stability verification.

Martingale Convergence Theorem

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

Martingales and Brownian Motion: Construction and Properties

Explores the construction and properties of a Brownian motion with continuous trajectories using Paul Lévy's method.