Lecture

Semimartingale: Joint Variation Process

In course

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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.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_q5ojtof5

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