Martingales and Brownian Motion: Part 1

In course

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Description

This lecture covers two transformations of Brownian motion: reflected Brownian motion and absorbed Brownian motion at the origin, along with Markov properties and conditional densities. It also discusses standard Brownian motion, scaling invariance, and time inversion.

Instructors (2)

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Official source

https://mediaspace.epfl.ch/media/0_f4f0scvy

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