Concept

Stochastic process

Related lectures (32)

Fourier Transform and Spectral Densities

Covers the Fourier transform, spectral densities, Wiener-Khinchin theorem, and stochastic processes.

Martingale-based Methods for Stochastic Systems

Explores martingales in stochastic systems, focusing on formal analysis, termination analysis, and stability verification.

Sub- and Supermartingales: Theory and Applications

Explores sub- and supermartingales, stopping times, and their applications in stochastic processes.

Response Theory and Phase Transitions

Explores response theory, phase transitions, and fluctuations in weakly interacting systems, including stochastic particles and opinion formation models.

Stochastic Games on Directed Networks

Covers linear-quadratic stochastic differential games on directed chain networks and open-loop Nash equilibria.

Fokker-Planck Equation: Derivations and Applications

Explores the derivation of the Fokker-Planck equation and its applications in stochastic differential equations.

Mean Field Theory: Stochastic Analysis and Applications

Explores classical mean field theory, local interactions, and examples like individual-based SIR models and raindrop formation.

Stochastic Analysis & Random Fields

Covers the outcomes of a virtual seminar on stochastic analysis.

Stochastic Differential Equations

Covers Stochastic Differential Equations, Wiener increment, Ito's lemma, and white noise integration in financial modeling.

Stochastic Calculus: Foundations and Applications

Explores the foundation of stochastic calculus, emphasizing deterministic and memoryless processes.

Stochastic Integration

Covers stochastic integration and exchange mobility for mathematics students.

Markov Chains: Definition and Examples

Covers the definition and properties of Markov chains, including transition matrix and examples.

Stochastic Integral: Isometry Continuity

Covers stochastic integrals, emphasizing isometry and continuity properties in martingales and different spaces.

Probability Distributions in Environmental Studies Log in to Mediaspace to watch this video

Explores probability distributions for random variables in air pollution and climate change studies, covering descriptive and inferential statistics.

Rainfall Models: Deterministic vs Stochastic Log in to Mediaspace to watch this video

Covers deterministic and stochastic rainfall models in water resources engineering, including generation, calibration, and spatially explicit models.

Wiener Process: Definition and Properties Log in to Mediaspace to watch this video

Explains the definition and properties of the Wiener process, focusing on its covariance function and continuous paths.

Signal Processing Fundamentals Log in to Mediaspace to watch this video

Explores signal processing fundamentals, including discrete time signals, spectral factorization, and stochastic processes.

Stochastic Calculus: Itô's Formula Log in to Mediaspace to watch this video

Covers Stochastic Calculus, focusing on Itô's Formula, Stochastic Differential Equations, martingale properties, and option pricing.

Stochastic Processes: Symmetric Random Walk Log in to Mediaspace to watch this video

Covers the properties of the symmetric random walk in stochastic processes.

Stochastic Calculus: Brownian Motion Log in to Mediaspace to watch this video

Explores stochastic processes in continuous time, emphasizing Brownian motion and related concepts.