Lecture

Ito's Lemma: Variants and Proofs

In course

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Description

This lecture covers the first and second variants of Ito's Lemma, demonstrating the equality for continuous paths and the convergence to zero in probability. The proof involves showing the boundedness of the functions involved and the convergence of terms. The lecture also discusses the standard and more severe demonstrations, emphasizing the independence of variance in the second variant.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_zm4crpvd

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Ontological neighbourhood

Mathematics

Topology: General topology

Probability theory: Topics in probability theory

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