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एमआईटी 18.एस096 वित्त में अनुप्रयोगों के साथ गणित में विषय, फॉल 2013 पूरा पाठ्यक्रम देखें: प्रशिक्षक: चोंगबम ली यह व्याख्यान इटोइक कैलकुलस के पीछे के सिद्धांत की व्याख्या करता है। लाइसेंस: Creative Commons BY-NC-SA अधिक जानकारी के लिए और अधिक पाठ्यक्रम पर .

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## Search related to the topic 18. Itō Calculus

#Itō #Calculus

18. Itō Calculus

c squared financial

आप हमारी वेबसाइट पर केवल ऑनलाइन पैसे कमाने के तरीकों के बारे में सबसे पूर्ण और विस्तृत जानकारी देख सकते हैं: यहाँ और देखें

आप हमारी वेबसाइट पर केवल ऑनलाइन पैसे कमाने के तरीकों के बारे में सबसे पूर्ण और विस्तृत जानकारी देख सकते हैं: यहाँ और देखें

## 46 comments

Peace be upon you, thank you for this valuable lecture

thanks

51:00 LOL Hearing

il, which means one in Korean surprised me, professor!!! Yeah, I'm Korean!24:18 eat box …. hey ladies 😉

40:00 Damn, nobody ever told me this!

loot at that chalk

Best discourse on Ito's Lemma, amazing work Prof. Lee.

even the definition of the riemann integral isn't correctly

m*df/dx should be replaced by m*df/dt he bad knows math

always has big mistakes

THM isn't equal lemma

Kant was right.

lot of identity little thought

Can someone just tell me the vibe of this? Thanks.

The stochastic integral should be defined first. The "differential" is just a notation.

MIT OpenCourseWare

18. Itõ Calculus

Instructor: Choongbum Lee

0:50 min … Brownian …

I'm too dumb but still make 240k a year, and for that I'm out. I didn't even finish college.

was trying to find a lognormal variance’s dependence on time and a rigorous and long venture was answered in the first minute

I am a high school student I understand nothing about this.

What is a drift term? Why is it necessary?

Wish i could be in this class.

우왕 학교 선배다ㅋㅋㅋ 저도 카이스트 수학과에요.

This guy just saved my life omygad

Thank You Dr. Lee

A minor point. Dr. Lee mentioned a few times "sum of normal variables is normal." This is true for

independentnormal variables but not in general. In the context of the video, the variables were independent (changes of Brownian motions over distinct intervals), so the statements remain correct.Wow

Thank you so much to post this video! He explained everything very clear. Better than my teacher. It really helped me a lot.

He is great

At 20:05, how did he obtain the values of mu and sigma?

Some notable Timestamps:

0:00:25 Itō Calculus

0:12:33 Ito’s lemma

0:40:57 Adapted processes

1:00:18 Change of Measure

1:05:32 Equivalence of probability distributions

1:13:18 Girsanov’s theorem

That blackboard is clean as

Perfect explanation!

That chalk is amazingly soothing and satisfying

Change of measure: 1:00:20

Perfect !

he is so great, when explaining these concepts so well,,i cry dont know what i could do without this !

🚀 thx!!

6:19 , 7:30 , 10:05

This guy has zero OCD

49:57 for Ito's isometry

Many thanks for sharing. Really good lecture.

The lecture is helpful in one sense. In another sense it is very bad maths. Teaching others how NOT TO think like mathematicians. Extremely non-rigorous and almost anti scientific. Comments are positive only because of the lack of serious maths background of reviewers. Of course there are advanced materials he can't cover here. But this should have been immediately clarified when appropriate instead of giving affirmations that are fundamentally wrong. It is better to tell "we admit this result" than to give an explanation that is not correct. In particular (dBt)^2=dt…..what , why ?!

In spite of all that, I would like to stress how useful and profound is this lecture, there are incredible insights that I could not find anywhere else not even in Shreve books. MANY TANKS MIT .

at 21:05 why that one is 0 and the one in the middle equals 2 and …

Does someone know about the previous video where he proves (d(Bt)^2)=dt? – because of quadratic variance?

In 8:27 I didn't get why (dBt)(dt) and (dt)^2 are neglectable, square root of a tiny number gives a bigger number (sqrt(1/4)=1/2) so sqrt(dt) should be bigger than dt. I can't accept that explanation.

The argument "they´re tending to zero faster than dt and dBt" isn't good enough. Can someone tell me whats going on.

Thanks Mr Lee!

Omg, you spoke so clearly. Thanks a lot. I will try to send my son to MIT in future.