Ornstein Uhlenbeck Process -- Ito Isometry -- Ito Integral -- Stochastic Process
This video is part of the Back 2 Fundamentals (B2F) series.
Ornstein-Uhlenbeck Process is probably one of the most educational stochastic processes. You can learn a lot by studying it in depth. Here we’ll look at its SDE form, try to solve it, and while doing so, we will go over one of the important techniques in stochastic calculus, the so-called Ito isometry used in Ito Integral. Note the Vasicek interest rate model follows the same SDE form.
Видео Ornstein Uhlenbeck Process -- Ito Isometry -- Ito Integral -- Stochastic Process канала Finance DataLab
Ornstein-Uhlenbeck Process is probably one of the most educational stochastic processes. You can learn a lot by studying it in depth. Here we’ll look at its SDE form, try to solve it, and while doing so, we will go over one of the important techniques in stochastic calculus, the so-called Ito isometry used in Ito Integral. Note the Vasicek interest rate model follows the same SDE form.
Видео Ornstein Uhlenbeck Process -- Ito Isometry -- Ito Integral -- Stochastic Process канала Finance DataLab
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