Brownian Motion: Modeling and Analysis

Related lectures (31)

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

Explores transformations of Brownian motion, Markov properties, and scaling invariance.

Covers the derivation of Brownian motion by Einstein and Langevin equations, including the Chapman Kolmogorov equation.

Explores the reflected and absorbed Brownian motion transformations and Markov properties.

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

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

Discusses convergence, martingales, Brownian motion, joint laws, testing procedures, and stop times.

Explores Levy Flights and Brownian Motion, focusing on probability distributions and divergences in lag time.

Explores birth and death chains, hitting probabilities, and expected game durations in Markov chains.

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