Search for tag: "brownian motion"

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Lecture 6.2: Levy-Processes and non-Gaussian… duration 1 hour 46 minutes Lecture 6.2: Levy-Processes and non-Gaussian… Lecture 6.2: Levy-Processes and non-Gaussian Ornstein-Uhlenbeck processes	Lecture 6.2: Levy-Processes and non-Gaussian Ornstein-Uhlenbeck processes Simulation of Poisson and compound Poisson… poisson process +3 More From Tiziano Vargiolu 23 plays 0
Lecture 2 - Simulation of basic processes duration 1 hour 36 minutes Lecture 2 - Simulation of basic processes Lecture 2 - Simulation of basic processes	Lecture 2 - Simulation of basic processes Examples: simulation from the multidimensional… gaussian vectors +4 More From Tiziano Vargiolu 12 plays 0
Ph.D. course "The mathematics of energy… duration 1 hour 25 minutes Ph.D. course "The mathematics of energy… Ph.D. course "The mathematics of energy markets" - Lecture 4	Ph.D. course "The mathematics of energy markets" - Lecture 4 Brownian motion. Nondifferentiability of paths.… brownian motion +4 More From Tiziano Vargiolu 5 plays 0
Lecture 6: Functional limit theorems for… duration 1 hour 52 minutes Lecture 6: Functional limit theorems for… Lecture 6: Functional limit theorems for financial markets with long-range dependence	Lecture 6: Functional limit theorems for financial markets with long-range dependence * General conditions of weak convergence -… weak convergence +5 More From Tiziano Vargiolu 12 plays 0
Lecture 2: Equations with unbounded coefficients… duration 1 hour 41 minutes Lecture 2: Equations with unbounded coefficients… Lecture 2: Equations with unbounded coefficients and H > 1/2	Lecture 2: Equations with unbounded coefficients and H > 1/2 1. Cox-Ingersoll-Ross equations with fBm. 2.… hurst coefficient +6 More From Tiziano Vargiolu 8 plays 0
Lecture 1: Standard stochastic differential… duration 1 hour 49 minutes Lecture 1: Standard stochastic differential… Lecture 1: Standard stochastic differential equations with fBm	Lecture 1: Standard stochastic differential equations with fBm 1. Integration with respect to fBm. 2. Elements… fractional brownian motion +3 More From Tiziano Vargiolu 52 plays 0
Lecture 62: martingale representation theorem duration 27 minutes 42 seconds Lecture 62: martingale representation theorem Lecture 62: martingale representation theorem	Lecture 62: martingale representation theorem The martingale representation theorem in… martingale representation theorem +5 More From Tiziano Vargiolu 41 plays 0
Lecture 58: the Girsanov theorem duration 33 minutes 33 seconds Lecture 58: the Girsanov theorem Lecture 58: the Girsanov theorem	Lecture 58: the Girsanov theorem The Girsanov theorem in the multidimensional… girsanov theorem +5 More From Tiziano Vargiolu 40 plays 0
Lecture 57: Levy's characterization duration 36 minutes 2 seconds Lecture 57: Levy's characterization Lecture 57: Levy's characterization	Lecture 57: Levy's characterization Stochastic integral of complex-valued processes.… complex-valued stochastic integral +6 More From Tiziano Vargiolu 17 plays 0
Lecture 45: consequences of the Ito-Doeblin… duration 46 minutes 2 seconds Lecture 45: consequences of the Ito-Doeblin… Lecture 45: consequences of the Ito-Doeblin formula	Lecture 45: consequences of the Ito-Doeblin formula A note on the integrability in the… ito-doeblin formula +1 More From Tiziano Vargiolu 17 plays 0
Lecture 32: cross-variation duration 28 minutes 7 seconds Lecture 32: cross-variation Lecture 32: cross-variation	Lecture 32: cross-variation Cross-variation: definition.… cross variation +1 More From Tiziano Vargiolu 22 plays 0
Lecture 31: the Cholesky decomposition duration 58 minutes 46 seconds Lecture 31: the Cholesky decomposition Lecture 31: the Cholesky decomposition	Lecture 31: the Cholesky decomposition The Cholesky decomposition correlated brownian motion +2 More From Tiziano Vargiolu 25 plays 0
Lecture 30: multidimensional Brownian motion duration 55 minutes 25 seconds Lecture 30: multidimensional Brownian motion Lecture 30: multidimensional Brownian motion	Lecture 30: multidimensional Brownian motion Definitions of multidimensional standard… brownian motion +2 More From Tiziano Vargiolu 29 plays 0
Lectures 27-28: the Girsanov theorem and the… duration 1 hour 22 minutes Lectures 27-28: the Girsanov theorem and the… Lectures 27-28: the Girsanov theorem and the martingale representation theorem	Lectures 27-28: the Girsanov theorem and the martingale representation theorem Levy's characterization of Brownian… levy's characterization theorem +8 More From Tiziano Vargiolu 41 plays 0
Lecture 16: the Ito-Doeblin formula duration 1 hour 16 minutes Lecture 16: the Ito-Doeblin formula Lecture 16: the Ito-Doeblin formula	Lecture 16: the Ito-Doeblin formula Stochastic integral with respect to an… stochastic integral +4 More From Tiziano Vargiolu 38 plays 0
Lecture 12: examples of stochastic integrals duration 30 minutes 0 seconds Lecture 12: examples of stochastic integrals Lecture 12: examples of stochastic integrals	Lecture 12: examples of stochastic integrals Stochastic integrals of simple processes.… stochastic integral +3 More From Tiziano Vargiolu 24 plays 0