Stochastic Calculus: Brownian Motion

Related lectures (32)

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

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

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

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

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

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

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

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

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

Explores the application of randomness in physical models, focusing on Brownian motion and diffusion.