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Flashcards

Chapter 4: Brownian motion

mho1 Stochastic Processes and FInance Masters English 16 cards

filtration (continuous time)

Cards in this deck (16)

  1. 1filtration (continuous time)filtration (continuous time)
  2. 2adapted (continuous time)adapted (continuous time)
  3. 3natural filtrationnatural filtration
  4. 4martingale (continuous time)martingale (continuous time)
  5. 5stopping time (continuous time)stopping time (continuous time)
  6. 6Brownian motionBrownian motion
  7. 7mean, variance and pdf of Brownian motionmean, variance and pdf of Brownian motion
  8. 8covariancecovariance
  9. 9—
  10. 10—
  11. 11Symmetries of Brownian Motion (four)1. Reflection
    2. Shift
    3. Self-similarity
    4. Time inversion
  12. 12—proof: easyproof: easy
  13. 13—
  14. 14—
  15. 15—
  16. 16GBM Geometric Brownian MotionGBM Geometric Brownian Motion

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Masters Stochastic Processes and FInance Flashcards on Chapter 4: Brownian motion, created by mho1 on 06/06/2015.
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mho1
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brownian motion
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