Martingales and Brownian Motion: Part 1

About
Privacy
Disclaimer

Graph Chatbot

Related lectures (32)

Page 3 of 4

Markov Chain Games

Explores Markov chain games, hitting probabilities, and expected hitting times in a target set.

Bonus Malus System: Transition Probabilities

Explores the Bonus Malus system for insurance premiums and Markov chain transition probabilities.

Girsanov: Martingales and Brownian Motion

Explores martingales, Brownian motion, and measure transformations in probability theory.

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.

Recurrence and Transience: Markov Chains

Explores recurrence and transience in Markov chains, discussing the strong Markov property and state classifications.

White Noise Form of the Langevin Equation

Covers the white noise form of the Langevin equation and its applications.

Markov Chains: Introduction and Properties

Covers the introduction and properties of Markov chains, including transition matrices and stochastic processes.

Stochastic Calculus: Integrals and Processes

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

Stochastic Calculus: Lecture 1

Covers the essentials of probability, algebras, and conditional probability, including the Borel o-algebra and Poisson processes.

Stochastic Processes: Brownian Motion

Explores Brownian motion, Langevin equations, and stochastic processes in physics.