Lecture

Stochastic Calculus: Brownian Motion

In course

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Description

This lecture covers stochastic processes in continuous time, focusing on Brownian motion, Itô stochastic integral, extensions, Itô processes, and martingales. It also discusses quadratic variation, absolutely continuous functions, finite variation processes, Gaussian processes, and properties of Brownian motion.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_ru3av1se

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