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Lecture# Semimartingale: Joint Variation Process

Description

This lecture covers the concept of semimartingales, which are processes represented as the sum of a continuous variation process and a finite variation process. It explains the joint variation process and the conditions for a function to be a semimartingale. The lecture also delves into Ito's lemma and the demonstration of results for polynomials. The importance of managing second-order terms is highlighted, along with the induction reasoning applied throughout the proofs.

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Related concepts (81)

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Inductive reasoning

Inductive reasoning is a method of reasoning in which a general principle is derived from a body of observations. It consists of making broad generalizations based on specific observations. Inductive reasoning is distinct from deductive reasoning, where the conclusion of a deductive argument is certain given the premises are correct; in contrast, the truth of the conclusion of an inductive argument is probable, based upon the evidence given.

Laguerre polynomials

In mathematics, the Laguerre polynomials, named after Edmond Laguerre (1834–1886), are solutions of Laguerre's differential equation: which is a second-order linear differential equation. This equation has nonsingular solutions only if n is a non-negative integer. Sometimes the name Laguerre polynomials is used for solutions of where n is still a non-negative integer. Then they are also named generalized Laguerre polynomials, as will be done here (alternatively associated Laguerre polynomials or, rarely, Sonine polynomials, after their inventor Nikolay Yakovlevich Sonin).

Legendre polynomials

In mathematics, Legendre polynomials, named after Adrien-Marie Legendre (1782), are a system of complete and orthogonal polynomials with a vast number of mathematical properties and numerous applications. They can be defined in many ways, and the various definitions highlight different aspects as well as suggest generalizations and connections to different mathematical structures and physical and numerical applications. Closely related to the Legendre polynomials are associated Legendre polynomials, Legendre functions, Legendre functions of the second kind, and associated Legendre functions.

Abductive reasoning

Abductive reasoning (also called abduction, abductive inference, or retroduction) is a form of logical inference that seeks the simplest and most likely conclusion from a set of observations. It was formulated and advanced by American philosopher Charles Sanders Peirce beginning in the last third of the 19th century. Abductive reasoning, unlike deductive reasoning, yields a plausible conclusion but does not definitively verify it. Abductive conclusions do not eliminate uncertainty or doubt, which is expressed in retreat terms such as "best available" or "most likely".

Orthogonal polynomials

In mathematics, an orthogonal polynomial sequence is a family of polynomials such that any two different polynomials in the sequence are orthogonal to each other under some inner product. The most widely used orthogonal polynomials are the classical orthogonal polynomials, consisting of the Hermite polynomials, the Laguerre polynomials and the Jacobi polynomials. The Gegenbauer polynomials form the most important class of Jacobi polynomials; they include the Chebyshev polynomials, and the Legendre polynomials as special cases.

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