Stochastic Integration

Related lectures (31)

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Covers stochastic integration, process bracket, martingales, and variations in submartingales.

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

Explores the construction of Brownian motion with continuous trajectories and the dimension of its zero set.

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

Covers the first theorem of asset pricing, self-financing portfolios, replication, Kolmogorov equations, and pricing strategies.

Explores probability distributions for random variables in air pollution and climate change studies, covering descriptive and inferential statistics.

Covers the fundamentals of interest rates and stochastic models in finance.

Explores martingales in stochastic systems, focusing on formal analysis, termination analysis, and stability verification.

Explores spatial ergodicity for SPDEs, covering basic formulations, initial data effects, and results on ergodicity and CLT.

Explores sub- and supermartingales, stopping times, and their applications in stochastic processes.