Lecture

Martingales and Stochastic Integration

In course

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Description

This lecture covers the concept of martingales, stochastic integration, and localizing processes using stopping times. It explains the conditions for a martingale to be bounded, integrable, and positive, as well as the properties of local martingales. The lecture also discusses the convergence of martingales and the relationship between martingales and stopping times.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_yur4j0si

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Ontological neighbourhood

Mathematics

Analysis: Differential anaysis

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