Chapter 4: Brownian motion

Question	Answer
filtration (continuous time)	Image: cee981fb-da71-4a94-be96-2dc219e12901 (image/png)
adapted (continuous time)	Image: a8f2015f-4947-4fde-b65d-a140fd9a23f1 (image/png)
natural filtration	Image: 06454682-51e9-4823-93d1-56b2b31b34c8 (image/png)
martingale (continuous time)	Image: 7c0f9bc8-fc5c-4ab8-aae4-1d6e141b7264 (image/png)
stopping time (continuous time)	Image: 6f6ea3b3-73de-49fa-87cd-914d0f71bf07 (image/png)
Brownian motion	Image: 5a616fe4-dad6-44ea-b0ab-d534c89856dc (image/png)
mean, variance and pdf of Brownian motion	Image: 790e8921-1204-4f28-b651-21234b4a6a94 (image/png)
covariance	Image: 33ead017-5fa1-464e-a927-3be560c0b589 (image/png)
Image: b733b7b0-ba5d-4e1c-a8ba-5f63f9018e68 (image/png)	Image: e528562b-5f29-49ad-ae56-920fa71a5302 (image/png)
Image: d7267301-e9df-4944-b037-eed1347abd21 (image/png)	Image: 1390c5b0-1a23-42a8-aba2-40f36bda3f6f (image/png)
Symmetries of Brownian Motion (four)	1. Reflection 2. Shift 3. Self-similarity 4. Time inversion
Image: 00e44b78-7ae3-4900-9e27-11605d40175f (image/png)	proof: easy
Image: 5108b839-8566-45b8-8820-99a5043b4be3 (image/png)	Image: 0b7f0f01-7d67-4757-b041-eed137faab27 (image/png)
Image: 6d2d3f13-0ddc-4121-a0ff-57e7ead7c1e2 (image/png)	Image: de480c83-2f7e-4766-9db7-5250df9bcc30 (image/png)
Image: e4e1a41f-6bd2-4942-8873-3936da3d14e7 (image/png)	Image: 75096121-de5d-4c3d-809a-3031aa92fb00 (image/png)
GBM Geometric Brownian Motion	Image: c0f54b0f-82bd-4301-9716-14dd801ea801 (image/png)

Resource summary

	Created by mho1 over 9 years ago