Lecture

Joint Quadratic Processes

In course

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Description

This lecture covers the concept of joint quadratic processes, where two locally continuous martingales M and N are given. It explains the joint variation process, properties, and the martingale property. The lecture also discusses the Ito lemma, local martingales, and the quadratic variation process.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_luoms8gd

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Mathematics

Analysis: Differential anaysis

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