Lecture

Stochastic Integration: First Steps

In course

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Description

This lecture introduces stochastic integration, covering the process bracket, martingales, and variations. It explains the decomposition of a submartingale into a martingale and a predictable process, along with the uniqueness of this decomposition. The lecture also discusses the properties of martingales and the concept of variation locally bounded functions.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_nxmv1zu0

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Ontological neighbourhood

Mathematics

Analysis: Differential anaysis

Algebra: Linear algebra

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