Stopping Times: Martingales and Brownian Motion

In course

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Description

This lecture covers the concept of stopping times in the context of martingales and Brownian motion, discussing conditions for stopping, continuous filtrations, and examples of reasonable stopping times. The instructor demonstrates the convergence properties of martingales and explores the strong Markov property in Brownian motion.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_bh1m4113

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Ontological neighbourhood

Mathematics

Probability theory: Stochastic processses

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