Time series | Mathematical finance

Stochastic drift

In probability theory, stochastic drift is the change of the average value of a stochastic (random) process. A related concept is the drift rate, which is the rate at which the average changes. For example, a process that counts the number of heads in a series of fair coin tosses has a drift rate of 1/2 per toss. This is in contrast to the random fluctuations about this average value. The stochastic mean of that coin-toss process is 1/2 and the drift rate of the stochastic mean is 0, assuming 1 = heads and 0 = tails. (Wikipedia).

Video thumbnail

Stochastic Normalizing Flows

Introduction to the paper https://arxiv.org/abs/2002.06707

From playlist Research

Video thumbnail

Stochasticity (3), selection versus drift.

This video looks at how the forces of genetic drift and selection work in concert with one another. In particular, it looks at when the forces of selection will be more important than drift in determining the fate of new advantageous or deleterious mutant alleles. The main result is that s

From playlist TAMU: Bio 312 - Evolution | CosmoLearning Biology

Video thumbnail

IDTIMWYTIM: Stochasticity - THAT'S Random

Hank helps us understand the difference between the colloquial meaning of randomness, and the scientific meaning, which is also known as stochasticity. We will learn how, in fact, randomness is surprisingly predictable. Like SciShow: http://www.facebook.com/scishow Follow SciShow: http://

From playlist Uploads

Video thumbnail

Slower Stoichiometry playlist

For those asking me to go through Stoichiometry a bit slower... https://www.youtube.com/playlist?list=PLyuGdIuwJD9G2pZrJmSa57awLilGCyOCZ These are updated videos (currently using for Australian Curriculum) that take you from mass to solution to gas Stoichiometry.

From playlist Topic 1 Stoichiometry - at a slower pace...

Video thumbnail

STRATIFIED, SYSTEMATIC, and CLUSTER Random Sampling (12-4)

To create a Stratified Random Sample, divide the population into smaller subgroups called strata, then use random sampling within each stratum. Strata are formed based on members’ shared (qualitative) characteristics or attributes. Stratification can be proportionate to the population size

From playlist Sampling Distributions in Statistics (WK 12 - QBA 237)

Video thumbnail

Hybrid sparse stochastic processes and the resolution of (...) - Unser - Workshop 2 - CEB T1 2019

Michael Unser (EPFL) / 12.03.2019 Hybrid sparse stochastic processes and the resolution of linear inverse problems. Sparse stochastic processes are continuous-domain processes that are specified as solutions of linear stochastic differential equations driven by white Lévy noise. These p

From playlist 2019 - T1 - The Mathematics of Imaging

Video thumbnail

Silvia Villa - Generalization properties of multiple passes stochastic gradient method

The stochastic gradient method has become an algorithm of choice in machine learning, because of its simplicity and small computational cost, especially when dealing with big data sets. Despite its widespread use, the generalization properties of the variants of stochastic

From playlist Schlumberger workshop - Computational and statistical trade-offs in learning

Video thumbnail

Lisa Beck: Regularization by noise for the stochastic transport equation

The lecture was held within the of the Hausdorff Junior Trimester Program: Randomness, PDEs and Nonlinear Fluctuations. Abstract: We discuss several aspects of regularity and uniqueness for weak (L∞-) solutions to the (deterministic and stochastic) transport equation du = b · Dudt + σDu

From playlist HIM Lectures: Junior Trimester Program "Randomness, PDEs and Nonlinear Fluctuations"

Video thumbnail

Maxim Raginsky: "A mean-field theory of lazy training in two-layer neural nets"

High Dimensional Hamilton-Jacobi PDEs 2020 Workshop II: PDE and Inverse Problem Methods in Machine Learning "A mean-field theory of lazy training in two-layer neural nets: entropic regularization and controlled McKean-Vlasov dynamics" Maxim Raginsky - University of Illinois at Urbana-Cham

From playlist High Dimensional Hamilton-Jacobi PDEs 2020

Video thumbnail

Inflation, geometry and stochasticity - S. Renaux-Petel - Workshop 1 - CEB T3 2018

Sebastien Renaux-Petel (IAP) / 18.09.2018 Inflation, geometry and stochasticity ---------------------------------- Vous pouvez nous rejoindre sur les réseaux sociaux pour suivre nos actualités. Facebook : https://www.facebook.com/InstitutHenriPoincare/ Twitter : https://twitter.com/InHe

From playlist 2018 - T3 - Analytics, Inference, and Computation in Cosmology

Video thumbnail

Gunther Leobacher: Stochastic Differential Equations

In the second part we show how the classical result can be used also for SDEs with drift that may be discontinuous and diffusion that may be degenerate. In that context I will present a concept of (multidimensional) piecewise Lipschitz drift where the set of discontinuities is a sufficient

From playlist Virtual Conference

Video thumbnail

"Diffusion Approximation and Sequential Experimentation" by Victor Araman

We consider a Bayesian sequential experimentation problem. We identify environments in which the average number of experiments that is conducted per unit of time is large and the informativeness of each individual experiment is low. Under such regimes, we derive a diffusion approximation f

From playlist Thematic Program on Stochastic Modeling: A Focus on Pricing & Revenue Management​

Video thumbnail

Financial Option Theory with Mathematica -- Basics of SDEs and Option Pricing

This is my first session of my Financial Option Theory with Mathematica track. I provide an introduction to financial options, develop the relevant SDEs (stochastic differential equations), and then apply them to stock price processes and the pricing of (European) options. You can downloa

From playlist Financial Options Theory with Mathematica

Video thumbnail

problem set with selection by Uma Ramakrishnan

PROGRAM : PREPARATORY SCHOOL ON POPULATION GENETICS AND EVOLUTION ORGANIZERS : Deepa Agashe and Kavita Jain DATE & TIME : 04 February 2019 to 10 February 2019 VENUE :Ramanujan Lecture Hall, ICTS Bangalore The 2019 preparatory school on Population Genetics and Evolution (PGE2019) will be

From playlist Preparatory School on Population Genetics and Evolution

Video thumbnail

Mutation, Selection and Evolutionary Rescue in Simple Phenotype....(Lecture 1) by Guillaume Martin

PROGRAM FIFTH BANGALORE SCHOOL ON POPULATION GENETICS AND EVOLUTION (ONLINE) ORGANIZERS: Deepa Agashe (NCBS, India) and Kavita Jain (JNCASR, India) DATE: 17 January 2022 to 28 January 2022 VENUE: Online No living organism escapes evolutionary change, and evolutionary biology thus conn

From playlist Fifth Bangalore School on Population Genetics and Evolution (ONLINE) 2022

Video thumbnail

Mireille Bossy: Particle algorithm for McKean SDE : a short review on numerical analysis

Recording during the CEMRACS Summer school 2017 "Numerical Methods for Stochastic Models: Control, Uncertainty Quantification, Mean-field " the July 18, 2017 at the Centre International de Rencontres Mathématiques (Marseille, France) Filmmaker: Guillaume Hennenfent Find this video and ot

From playlist Probability and Statistics

Video thumbnail

What is the right functional... - Broecker - Workshop 2 - CEB T3 2019

Broecker (U Reading, UK) / 14.11.2019 What is the right functional for weakly constrained variational assimilation? ---------------------------------- Vous pouvez nous rejoindre sur les réseaux sociaux pour suivre nos actualités. Facebook : https://www.facebook.com/InstitutHenriP

From playlist 2019 - T3 - The Mathematics of Climate and the Environment

Video thumbnail

Stochastic Gradient Descent, Clearly Explained!!!

Even though Stochastic Gradient Descent sounds fancy, it is just a simple addition to "regular" Gradient Descent. This video sets up the problem that Stochastic Gradient Descent solves and then shows how it does it. Along the way, we discuss situations where Stochastic Gradient Descent is

From playlist StatQuest

Related pages

Decomposition of time series | White noise | Polynomial | Secular variation | Stationary process | Probability theory | Autocorrelation | Unit root | Stochastic process | Fourier series | Trend-stationary process