Lecture

Fubini Generalized

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In course

MATH-431: Theory of stochastic calculus

Introduction to the mathematical theory of stochastic calculus: construction of the Ito stochastic integral, proof of the Ito formula, introduction to stochastic differential equations, Girsanov's theorem and the Feynman-Kac formula, the martingale represe ...

Description

This lecture delves into the concept of Fubini's theorem in multiple dimensions, exploring the integration of functions over various domains, such as rectangles and closed unit balls. The instructor demonstrates how to generalize the theorem by using rectangles as building blocks and extends the integration to more complex regions. Through detailed examples, the lecture illustrates the process of splitting the integral over different domains and showcases the application of Fubini's theorem in practical scenarios, such as integrating over triangles and closed unit balls with specific constraints. The lecture concludes by hinting at further exploration of the topic in the upcoming session.

Instructors (2)

Robert Dalang

Robert Dalang, né en 1961, a reçu le diplôme de Mathématicien-EPFL en 1983 et est lauréat du Prix Dommer. Il passe l'année 1985-86 à Cornell University (USA) comme chercheur invité. Il obtient le doctorat au Département de mathématiques de l'EPFL en 1987. Son domaine de spécialisation est la théorie des processeurs stochastiques. En 1987, Robert Dalang est nommé professeur assistant au Département de statistiques de l'Université de Californie à Berkeley (USA). En 1988, il reçoit une bourse post-doctorale du Fonds national scientifique américain et effectue des recherches sur les propriétés markoviennes de processus stochastiques à plusieurs paramètres. En 1990, il est nommé à Tufts University (Boston, USA). Il est promu professeur associé en mai 1993. Une partie importante de ses recherches se font dans le cadre de contrats avec le Fonds national scientifique américain et l'Office de la recherche de l'armée américaine. En collaboration avec le Prof. R. Cairoli du Département de mathématiques de l'EPFL, il a écrit un livre sur l'optimisation stochastique séquentielle publié en 1996 aux éditions John Wiley. M. Dalang est nommé professeur extraordinaire de probabilités au Département de mathématiques en 1995. Il y poursuit des travaux de recherche en processus stochastiques et probabilité appliquée et participe à l'enseignement des processus stochastiques, de la théorie des probabilités et des cours de mathématiques aux sections d'ingénieurs. Il dirige régulièrement des thèses de doctorats, est éditeur de plusieurs journaux de recherche mathématique et travail en collaboration avec des chercheurs de plusieurs universités européennes et américaines.

Thomas Mountford

Teaching & PhD Past EPFL PhD Students Damien Gauthier, Samir Brahim Belhaouari, Driss Baraka, Daniel Rodrigues Valesin, Samuel Schöpfer, Kamran Kalbasi, Jacques Saliba, Hao Xue, Keming Chen Past EPFL PhD Students as codirector Guillaume Charles Woessner Courses Analysis I MATH-101(d) Study the fundamental concepts of analysis, and the differential and integral calculus of real-valued functions of one real variable. Markov chains MATH-332 The course follows the text of Norris

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Related concepts (17)

Triangle

A triangle is a polygon with three edges and three vertices. It is one of the basic shapes in geometry. A triangle with vertices A, B, and C is denoted . In Euclidean geometry, any three points, when non-collinear, determine a unique triangle and simultaneously, a unique plane (i.e. a two-dimensional Euclidean space). In other words, there is only one plane that contains that triangle, and every triangle is contained in some plane.

Equilateral triangle

In geometry, an equilateral triangle is a triangle in which all three sides have the same length. In the familiar Euclidean geometry, an equilateral triangle is also equiangular; that is, all three internal angles are also congruent to each other and are each 60°. It is also a regular polygon, so it is also referred to as a regular triangle.

Integer triangle

An integer triangle or integral triangle is a triangle all of whose side lengths are integers. A rational triangle is one whose side lengths are rational numbers; any rational triangle can be rescaled by the lowest common denominator of the sides to obtain a similar integer triangle, so there is a close relationship between integer triangles and rational triangles. Sometimes other definitions of the term rational triangle are used: Carmichael (1914) and Dickson (1920) use the term to mean a Heronian triangle (a triangle with integral or rational side lengths and area);cite book |last=Carmichael |first=R.

Solution of triangles

Solution of triangles (solutio triangulorum) is the main trigonometric problem of finding the characteristics of a triangle (angles and lengths of sides), when some of these are known. The triangle can be located on a plane or on a sphere. Applications requiring triangle solutions include geodesy, astronomy, construction, and navigation. A general form triangle has six main characteristics (see picture): three linear (side lengths a, b, c) and three angular (α, β, γ).

Special right triangle

A special right triangle is a right triangle with some regular feature that makes calculations on the triangle easier, or for which simple formulas exist. For example, a right triangle may have angles that form simple relationships, such as 45°–45°–90°. This is called an "angle-based" right triangle. A "side-based" right triangle is one in which the lengths of the sides form ratios of whole numbers, such as 3 : 4 : 5, or of other special numbers such as the golden ratio.

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