Stochastic Differential Equations

Related lectures (31)

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

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

Explores Brownian motion, Langevin equations, and stochastic processes in physics.

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

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

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

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

Covers the white noise form of the Langevin equation and its applications.

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

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