18. Itō Calculus
MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013 View the complete course: http://ocw.mit.edu/18-S096F13 Instructor: Choongbum ...
MIT OpenCourseWare
Brownian motion and its martingale property - Part 1
NPTEL-NOC IITM
NCCR SwissMAP - Brownian motion and stochastic calculus
NCCR SwissMAP - Master Class in Planar Statistical Physics Brownian motion and stochastic calculus by Chelkak Dmitry (19 Nov 2015)
NCCR SwissMAP
Historical and Monte Carlo VaR
Topic 4: Value-at-Risk at the Portfolio Level. Video 4 of 6.
Professor Carol Alexander: Lockdown Lectures
Geometric Brownian Motion
Maths Partner
Mod-07 Lec-02 Processes Derived from Brownian Motion
Stochastic Processes by Dr. S. Dharmaraja, Department of Mathematics, IIT Delhi. For more details on NPTEL visit http://nptel.iitm.ac.in.
nptelhrd
20. Option Price and Probability Duality
MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013 View the complete course: http://ocw.mit.edu/18-S096F13 Instructor: Stephen Blythe ...
MIT OpenCourseWare
Large deviations of Markov processes (Part - 1) by Hugo Touchette
Large deviation theory in statistical physics: Recent advances and future challenges DATE: 14 August 2017 to 13 October 2017 VENUE: Madhava Lecture Hall, ...
International Centre for Theoretical Sciences
8 1 Stochastic Volatility Part 1
BEM1105x Course Playlist - https://www.youtube.com/playlist?list=PL8_xPU5epJdfCxbRzxuchTfgOH1I2Ibht Produced in association with Caltech Academic ...
caltech
Percolation of sign clusters for the Gaussian free field I - Pierre-Francois Rodriguez
Special Probability Seminar Topic: Percolation of sign clusters for the Gaussian free field I Speaker: Pierre-Francois Rodriguez Affiliation: University of California ...
Institute for Advanced Study
Probabilistic methods in statistical physics for extreme statistics... - 17 September 2018
http://crm.sns.it/event/420/ Probabilistic methods in statistical physics for extreme statistics and rare events Partially supported by UFI (Université ...
SNS Channel Mathematical and Natural Sciences
The 20th Northwest Probability Seminar: The KPZ Fixed Point
The (1d) KPZ universality class contains random growth models, directed random polymers, stochastic Hamilton-Jacobi equations (e.g. the eponymous ...
Microsoft Research
01 NCCR SwissMAP - Brownian motion and stochastic calculus 20150917
https://mediaserver.unige.ch/play/90082 BROWNIAN MOTION AND STOCHASTIC CALCULUS Master class in planar statistical physic 2015-2016 Chelkak ...
chaoshengzhe
An Introduction to Computational Multiphysics: Selected Applications Part 1
Microfluidics: The Moving Contact Line Problem and Nanofluids: Biopolymer Translocation Through Nanopores.
Harvard University
Martin Hairer: Renormalization and Stochastic PDEs
This is a talk of Martin Hairer with title "Renormalization and Stochastic PDE's given on Friday, November 21, 2014 at the Current Developments in Mathematics ...
Harvard Math
Lecture 1 | Stochastic Partial Differential Equations | Martin Hairer | Лекториум
Lecture 1 | Курс: Stochastic Partial Differential Equations | Лектор: Martin Hairer | Организатор: Математическая лаборатория имени П.Л.Чебышева ...
Лекториум
27º CBM - Palestra Plenária - Alain-Sol Sznitman (ETH-Zurich)
27º CBM - Palestra Plenária - Alain-Sol Sznitman (ETH-Zurich) Disconnection of discrete cylinders and random interlacements O Colóquio Brasileiro de ...
Instituto de Matemática Pura e Aplicada
Sampling Crash Course
Andreas Eberle (University of Bonn) https://simons.berkeley.edu/talks/tbd-328 Geometric Methods in Optimization and Sampling Boot Camp.
Simons Institute
Influence Functionals: Their Structure and Renormalisation by R. Loganayagam
ORGANIZERS : Pallab Basu, Avinash Dhar, Rajesh Gopakumar, R. Loganayagam, Gautam Mandal, Shiraz Minwalla, Suvrat Raju, Sandip Trivedi and Spenta ...
International Centre for Theoretical Sciences
C2.1.1 - Brownian motion
Mathe Mannheim
The role of weak Brownian motion in dilute (anisotropic) suspension rheology.
The role of weak Brownian motion in dilute (anisotropic) suspension rheology – Connections to the coil-stretch hysteresis. A talk delivered by Prof Ganesh ...
Raman Research Institute
Probabilistic methods in statistical physics for extreme statistics... - 19 September 2018
http://crm.sns.it/event/420/ Probabilistic methods in statistical physics for extreme statistics and rare events Partially supported by UFI (Université ...
SNS Channel Mathematical and Natural Sciences
NCCR SwissMAP - Brownian motion and stochastic calculus
NCCR SwissMAP - Master Class in Planar Statistical Physics Brownian motion and stochastic calculus by Chelkak Dmitry (29 Oct 2015)
NCCR SwissMAP
Stochastic Calculus and Processes: Introduction (Markov, Gaussian, Stationary, Wiener, and Poisson)
Introduces Stochastic Calculus and Stochastic Processes. Covers both mathematical properties and visual illustration of important processes. Explain ...
quantpie
SBP: The infinitesimal generator of the stochastic Burgers equation - Massimiliano Gubinelli
Seminário Brasileiro de Probabilidade Palestrante: Massimiliano Gubinelli, University of Bonn Playlist dos videos: http://bit.ly/3pFKpq7 Resumo: In this talk I will ...
Instituto de Matemática Pura e Aplicada
Michel Pain (NYU) -- Fluctuations of the critical Gibbs measure of branching Brownian motion
Branching Brownian motion is a system of particles moving and reproducing randomly. It is a prototype of a disordered system and a toy model for spin glasses ...
Columbia University, Probability
The limit behaviour of random walks with arrests, Oleksandr Prykhodko
The session of the seminar "Malliavin Calculus and its Applications", 24th of November.
Theory of Stochastic Processes
Olga Dudko - Biological Diffusion and Brownian Dynamics Brainstorm 2
Olga Dudko - Slides: Biomolecules under mechanical stress: New insights from the hoppingover-a-barrier problem.
The Qualcomm Institute
Yuval Peres - Breaking barriers in probability
http://www.lesprobabilitesdedemain.fr/index.html Organisateurs : Céline Abraham, Linxiao Chen, Pascal Maillard, Bastien Mallein et la Fondation Sciences ...
Institut des Hautes Études Scientifiques (IHÉS)
Max Fathi: Ricci curvature and functional inequalities for interacting particle systems
I will present a few results on entropic Ricci curvature bounds, with applications to interacting particle systems. The notion was introduced by M. Erbar and J.
Hausdorff Center for Mathematics
Jim Nolen: "A free boundary problem from Brownian bees in the infinite swarm limit in R^d"
High Dimensional Hamilton-Jacobi PDEs 2020 Workshop IV: Stochastic Analysis Related to Hamilton-Jacobi PDEs "A free boundary problem from Brownian ...
Institute for Pure & Applied Mathematics (IPAM)
Clay Mathematics Institute 2010 Summer School - Wendelin Werner - part 02
Evening talks Wendelin Werner IMPA - Instituto de Matemática Pura e Aplicada © http://www.impa.br | http://www.impa.br/videos.
Instituto de Matemática Pura e Aplicada
Wiener Process and ITOs Lemma
Training on Wiener Process and ITOs Lemma for ST 5 Finance and Investment for actuary exam by Vamsidhar Ambatipudi.
Vamsidhar Ambatipudi
Stochastic Processes -- Lecture 23
Levy Characterization of Brownian Motion, Exponential Martingales & Novikov Condition, Girsanov Theorem, Martingale Representation Theorem.
Max von Renesse
This equation will change how you see the world (the logistic map)
The logistic map connects fluid convection, neuron firing, the Mandelbrot set and so much more. Fasthosts Techie Test competition is now closed! Learn more ...
Veritasium
Financial Risk Management - Summer Term 2019 - Lecture 10
Lecture 10 in the Bachelor module "Financial Risk Management" in the summer term 2019 held at Leipzig University. Together with the Chair of Business ...
ULFinance
Mykhaylo Shkolnikov: The supercooled Stefan problem
We will consider the supercooled Stefan problem, which captures the freezing of a supercooled liquid, in one space dimension. A probabilistic reformulation of ...
Centre International de Rencontres Mathématiques
Uncertainty Quantification of Nonlinear Systems
Arbitrary Polynomial Chaos for Uncertainty Quantification of Correlated Random Variables in Nonlinear Systems Traditional sample-based uncertainty ...
APMonitor.com
Large deviations of Markov processes (Part 2) by Hugo Touchette
Large deviation theory in statistical physics: Recent advances and future challenges DATE: 14 August 2017 to 13 October 2017 VENUE: Madhava Lecture Hall, ...
International Centre for Theoretical Sciences
Pacific Northwest Probability Seminar: A Characterization Theorem for the Gaussian Free Field
We prove that any random distribution satisfying conformal invariance and a form of domain Markov property and having a finite moment condition must be the ...
Microsoft Research
周楚惟 经济物理简介20160513
lai si
Research in Options 2020 - Bruno Dupire - The Beauty and Power of Forward Equations
Speaker: Bruno Dupire (Bloomberg) - The Beauty and Power of Forward Equations Videos playlist: https://bit.ly/2V0rp87 Homepage: https://bit.ly/3fx5VsV The ...
Instituto de Matemática Pura e Aplicada
