Martingales and Stochastic Integration

Related lectures (32)

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

Explores sub- and supermartingales, stopping times, and their applications in stochastic processes.

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

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

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

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

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

Covers the proof and recap of the martingale convergence theorem, focusing on the conditions for the existence of a random variable.

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

Explores martingale convergence, discussing the conditions for convergence and variance in martingales.