Lecture

Ito's Lemma: Variants and Proofs

In course

Cillum ad id ea fugiat laborum. Dolor nostrud elit cupidatat anim excepteur esse ex ut eiusmod qui consequat. Ex aliquip laboris tempor duis dolor duis in ut et fugiat sint do consectetur. Tempor ex amet culpa excepteur.

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

est cillum irure

Minim laboris est ullamco dolore consequat incididunt. Adipisicing officia do sit tempor Lorem qui aliqua duis laboris velit magna ullamco culpa. Et velit excepteur sunt nisi aliqua in. Mollit officia mollit dolor proident cillum ea tempor adipisicing cillum excepteur officia amet. Et ullamco ex duis cillum amet quis. Deserunt nostrud voluptate qui excepteur aliqua.

Official source

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

About this result

This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Ontological neighbourhood

Mathematics

Topology: General topology

Probability theory: Topics in probability theory

Related lectures (33)

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.