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Karteikarten

Chapter 6: Stochastic Calculus

mho1 Stochastic Processes and FInance Masters Englisch 13 Karten

Chapter 6: Stochastic Calculus

Karten in diesem Stapel (13)

  1. 1Ito processIto process
  2. 2Immediate properties of Ito processes (two)Immediate properties of Ito processes (two)
  3. 3equivalent notation for Ito process (M, t \geq 0)equivalent notation for Ito process (M, t \geq 0)
  4. 4C_{1,2}C_{1,2}
  5. 5Ito's formulaIto's formula
  6. 6Ito's product formula d(M_1 M_2)Ito's product formula d(M_1 M_2)
  7. 7Ito tableIto table
  8. 8differential powers of M d[M(t)^n]differential powers of M d[M(t)^n]
  9. 9when p is an arbitrary polynomial, what is d(p(M(t))?when p is an arbitrary polynomial, what is d(p(M(t))?
  10. 10Martingale Representation Theorem (proof non-examinable)Martingale Representation Theorem (proof non-examinable)
  11. 11Levy's characterisation of Brownian motionLevy's characterisation of Brownian motion
  12. 12Girsanov's TheoremGirsanov's Theorem
  13. 13—Proof not directly examinableProof not directly examinable

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Masters Stochastic Processes and FInance Karteikarten am Chapter 6: Stochastic Calculus, erstellt von mho1 am 07/06/2015.
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