Stochastic calculus

Related lectures (31)

Provides an overview of integral calculus, including Darboux sums, closed box subdivisions, and integrability of continuous functions.

Explores classical mean field theory, local interactions, and examples like individual-based SIR models and raindrop formation.

Explores the Ito Lemma and its variants, discussing localization and proof techniques.

Covers the outcomes of a virtual seminar on stochastic analysis.

Covers the first theorem of asset pricing, self-financing portfolios, replication, Kolmogorov equations, and pricing strategies.

Explores the application of randomness in physical models, focusing on Brownian motion and diffusion.

Explores Riemann integrability and Jordan measure, discussing the conditions for a set to be negligible.

Covers optimal distributed control using Gradient Descent to achieve locally optimal controllers in large-scale systems.

Explores diffusion models in generative modeling, covering probability estimation, data generation, and model evaluation.

Explores the Wiener filter for discrete-time stochastic processes and its applications.

Covers communicating classes, hitting time, probabilities, and the Gambler's Ruin Model in stochastic processes.

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