Martingale theory

Local martingale

In mathematics, a local martingale is a type of stochastic process, satisfying the localized version of the martingale property. Every martingale is a local martingale; every bounded local martingale is a martingale; in particular, every local martingale that is bounded from below is a supermartingale, and every local martingale that is bounded from above is a submartingale; however, in general a local martingale is not a martingale, because its expectation can be distorted by large values of small probability. In particular, a driftless diffusion process is a local martingale, but not necessarily a martingale. Local martingales are essential in stochastic analysis (see Itō calculus, semimartingale, and Girsanov theorem). (Wikipedia).

Video thumbnail

Piazzolla, Guitarra, Bandoneón y Orquesta de Cuerdas-Alondra de la Parra & Orchestre de París

Alondra de la Parra – Directora Richard Galliano – Bandoneón Yamandu Costa- Guitarra Orchestre de Paris Director Musical – Paavo Järvi Video - Jean-Pierre Loisil ARTE France

From playlist NeoTango

Video thumbnail

Loca-Juan Darienzo

Orquesta de Juan Darienzo - The power of tango .

From playlist NeoTango

Video thumbnail

Milonga campera

Provided to YouTube by FaroLatino Milonga campera · Ariel Ramírez · Ariel Ramírez Piano ℗ 1960 Inamu Discos Released on: 2018-03-07 Auto-generated by YouTube.

From playlist NeoTango

Video thumbnail

Dana Jazmin Frigoli & Adrian Romeo Ferreyra, 3, Milonga Para Una Armonica, Hugo Diaz #HugoDiaz

Dana Jazmin Frigoli & Adrian Romeo Ferreyra, 3, «White tango festival 2012», Moscow, Russia, Prischepov TV - Tango in World, http://prisсhepov.ru, archive video, tango, Milonga Para Una Armonica, Hugo Diaz #Tango,#TangoPassion#TangoDance#TangoMusic#Tristesse1#Tangoperformance#PassionTango

From playlist Tango

Video thumbnail

Victor Borge - Franz Liszt - Hungarian Rhapsody #2

Victor Borge - Franz Liszt - Hungarian Rhapsody #2

From playlist Western Music

Video thumbnail

"LA CUMPARSITA" - Bandonegro, Gianpiero Galdi & Lorena Tarantino

New album "COLOR AIRES" Listen & Order now ➡ https://bit.ly/BandonegroColorAires Music: Tango "LA CUMPARSITA" by Bandonegro Tango Orquesta Dance: Gianpiero Galdi & Lorena Tarantino (ITA) Bandonegro on FB ➡ https://www.facebook.com/bandonegro/ Bandonegro on IG ➡ https://www.instagram

From playlist Tango

Video thumbnail

Paolo Guasoni, Lesson I - 18 december 2017

QUANTITATIVE FINANCE SEMINARS @ SNS PROF. PAOLO GUASONI TOPICS IN PORTFOLIO CHOICE

From playlist Quantitative Finance Seminar @ SNS

Video thumbnail

Laurent Lafforgue - 3/4 Fonctorialité et formules de Poisson non-linéaires

Laurent Lafforgue - professeur permanent à l'IHÉS Fonctorialité et formules de Poisson non-linéaires : Proposition de définition des transformations de Fourier et étude locale

From playlist Laurent Lafforgue - Fonctorialité et formules de Poisson no

Video thumbnail

2020.07.09 Ronen Eldan - Localization and concentration of measures on the discrete hypercube (2/2)

For a probability measure $\mu$ on the discrete hypercube, we are interested in finding sufficient conditions under which $\mu$ either (a) Exhibits concentration (either in the sense of Lipschitz functions, or in a stronger sense such as a Poincare inequality), or (b) Can be decomposed as

From playlist One World Probability Seminar

Video thumbnail

Daniel Balint: Discounting invariant FTAP for large financial markets

Abstract: For large financial markets as introduced in Kramkov and Kabanov 94, there are several existing absence-of-arbitrage conditions in the literature. They all have in common that they depend in a crucial way on the discounting factor. We introduce a new concept, generalizing NAA1 (K

From playlist Probability and Statistics

Video thumbnail

Optimal Transportation and Applications - 14 November 2018

http://crm.sns.it/event/436 It is the ninth edition of this "traditional'' meeting in Pisa, after the ones in 2001, 2003, 2006, 2008, 2010, 2012, 2014 and 2016. Organizing Committee Luigi Ambrosio, Scuola Normale Superiore, Pisa Giuseppe Buttazzo, Dipartimento di Matematica, Università

From playlist Centro di Ricerca Matematica Ennio De Giorgi

Video thumbnail

Laurent Lafforgue - 2/4 Fonctorialité et formules de Poisson non-linéaires

Laurent Lafforgue - professeur permanent à l'IHÉS Fonctorialité et formules de Poisson non-linéaires : Proposition de définition des transformations de Fourier et étude locale

From playlist Laurent Lafforgue - Fonctorialité et formules de Poisson no

Video thumbnail

Martin Larsson: Affine Volterra processes and models for rough volatility

Abstract: Motivated by recent advances in rough volatility modeling, we introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients. Classical affine diffusions constitute a special case, but affine Volterra processes are n

From playlist Probability and Statistics

Video thumbnail

Fin Math L4-2: The two fundamental theorems of asset pricing and the exponential martingale

Welcome to the second part of Lesson 4 of Financial Mathematics. In this video we discuss the two fundamental theorems of asset pricing and we introduce the exponential martingale, an essential tool that we will use as the Radon-Nikodym derivative to move from P to Q in the Cameron-Martin

From playlist Financial Mathematics

Video thumbnail

Gilles Pagès: CVaR hedging using quantization based stochastic approximation algorithm

Find this video and other talks given by worldwide mathematicians on CIRM's Audiovisual Mathematics Library: http://library.cirm-math.fr. And discover all its functionalities: - Chapter markers and keywords to watch the parts of your choice in the video - Videos enriched with abstracts, b

From playlist Analysis and its Applications

Video thumbnail

General strong polarization - Madhu Sudan

Computer Science/Discrete Mathematics Seminar I Topic: Locally symmetric spaces: pp-adic aspects Speaker: General strong polarization Affiliation: Harvard University Date: December 4, 2017 For more videos, please visit http://video.ias.edu

From playlist Mathematics

Video thumbnail

Ofer Zeitouni: "Polymers and stochastic heat equations on graphs"

High Dimensional Hamilton-Jacobi PDEs 2020 Workshop IV: Stochastic Analysis Related to Hamilton-Jacobi PDEs "Polymers and stochastic heat equations on graphs" Ofer Zeitouni - Weizmann Institute of Science Abstract: The study of Polymers in Zd leads to the study of the stochastic heat equ

From playlist High Dimensional Hamilton-Jacobi PDEs 2020

Video thumbnail

Sebastian Arce & Mariana Montes 'Milonga criolla', MoscowTF09

Sebastian Arce & Mariana Montes - 'Milonga criolla' F.Canaro, MoscowTangoFest - 'Milonguero Nights' - 2009

From playlist Tango

Video thumbnail

On Chen’s recent breakthrough on the Kannan-Lovasz-Simonovits conjecture and Bourga... - Ronen Eldan

Computer Science/Discrete Mathematics Seminar II Topic: On Chen’s recent breakthrough on the Kannan-Lovasz-Simonovits conjecture and Bourgain's slicing problem - Part II Speaker: Ronen Eldan Affiliation: Weizmann Institute of Science Date: April 26, 2021 For more video please visit http

From playlist Mathematics

Related pages

Gambler's ruin | Wiener process | Convergence of random variables | Almost surely | Girsanov theorem | Probability space | Stochastic process | Filtration (mathematics) | Hitting time | Martingale (probability theory) | Adapted process | Mathematics | Dirac delta function | Stopped process | Harmonic function | Local martingale | Semimartingale | Dominated convergence theorem | Stopping time | Partial differential equation