Concept

Girsanov theorem

Related lectures (15)

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Covers Girsanov's Theorem, absolutely continuous measures, and numerical simulation of Stochastic Differential Equations (SDEs) with applications in finance.

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Explores martingales, particularly exponential martingales and their properties under different probability measures.

Strong and Weak Solutions: Girsanov Theorem

Explores strong and weak solutions, independence of Brownian increments, and criteria for solution existence.

Girsanov: Martingales and Brownian Motion

Explores martingales, Brownian motion, and measure transformations in probability theory.

Calculus of Variations: Radon-Nikodym Theorem

Covers the Radon-Nikodym theorem and the uniqueness of signed Borel measures.

Stochastic Calculus: Integrals and Processes

Explores stochastic calculus, emphasizing integrals, processes, martingales, and Brownian motion.

Stochastic Calculus: Interest Rate Models

Provides an overview of stochastic calculus and its applications in interest rate models and financial modeling.

Doob's Decomposition Theorem

Covers Doob's decomposition theorem for submartingales and explores Brownian motion properties, quadratic variation, and continuous martingales.

Martingale Convergence

Explores martingale convergence, discussing the conditions for convergence and variance in martingales.

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Quantum Dynamics: Spectral Decomposition

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Asset Pricing: Fundamental Theorems

Covers the fundamental theorems of asset pricing, including EMM, self-financing strategies, risk-neutral pricing, and completeness of markets.

Dynamic Programming: Portfolio Optimization

Explores dynamic programming for optimizing portfolio choices and asset pricing theory.