Covers Girsanov's Theorem, absolutely continuous measures, and numerical simulation of Stochastic Differential Equations (SDEs) with applications in finance.
Explores the core concepts of Brownian motion, from molecules to cells, including its history, hypothesis versus description, Langevin's solution, and methods for measuring Brownian motion.
Explores convergence criteria for martingales, including almost sure convergence and Cauchy criterion, leading to the first martingale convergence theorem.
