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Chapter 4: Brownian motion

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Masters Stochastic Processes and FInance Flashcards on Chapter 4: Brownian motion, created by mho1 on 06/06/2015.
mho1
Flashcards by mho1, updated more than 1 year ago
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Created by mho1 over 10 years ago
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filtration (continuous time)
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adapted (continuous time)
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natural filtration
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martingale (continuous time)
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stopping time (continuous time)
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Brownian motion
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mean, variance and pdf of Brownian motion
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covariance
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Symmetries of Brownian Motion (four) 1. Reflection 2. Shift 3. Self-similarity 4. Time inversion
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proof: easy
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GBM Geometric Brownian Motion
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