Stochastic Calculus: Integrals and Processes

Related lectures (32)

Page 2 of 4

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

Explores the application of randomness in physical models, focusing on Brownian motion and diffusion.

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

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

Covers the concept of joint quadratic processes and their properties.

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

Explores the foundation of stochastic calculus, emphasizing deterministic and memoryless processes.

Covers semimartingales, Ito's lemma, and polynomial demonstrations, emphasizing the management of second-order terms and induction reasoning.

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

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