Lecture

Quadratic Variation: Martingales and Stochastic Integrals

In course

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Description

This lecture covers the concept of quadratic variation in the context of martingales and stochastic integrals. It explains how to define quadratic variation for a continuous martingale and its properties. The lecture also discusses the extension of processes and the Hilbert space associated with them.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_2gyvolhp

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Ontological neighbourhood

Mathematics

Analysis: Differential anaysis

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