Sub- and Supermartingales: Theory and Applications

Related lectures (32)

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

Covers Stochastic Calculus, focusing on Itô's Formula, Stochastic Differential Equations, martingale properties, and option pricing.

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

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

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

Covers the proof and recap of the martingale convergence theorem, focusing on the conditions for the existence of a random variable.

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

Explores stochastic processes in continuous time, emphasizing Brownian motion and related concepts.

Explores stopping times, the optional stopping theorem, F-measurable random variables, and martingales.

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