Stochastic Integration

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Related lectures (31)

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Stochastic Integral: Isometry Continuity

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

Quadratic Variation: Martingales and Stochastic Integrals

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

Stochastic Calculus: Itô's Formula

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

Stochastic Calculus: Integrals and Processes

Explores stochastic calculus, emphasizing integrals, processes, martingales, and Brownian motion.

Stochastic Calculus: Brownian Motion

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

Stochastic Differential Equations

Covers Stochastic Differential Equations, Wiener increment, Ito's lemma, and white noise integration in financial modeling.

Stochastic Calculus: Interest Rate Models

Provides an overview of stochastic calculus and its applications in interest rate models and financial modeling.

Stochastic Calculus: Foundations and Applications

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

Turbulent State Symmetries

Explores broken and emerging symmetries in turbulent states, discussing energy cascades, lack of scale invariance, and potential conformal invariance.

Fourier Transform and Spectral Densities

Covers the Fourier transform, spectral densities, Wiener-Khinchin theorem, and stochastic processes.