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19:28 Wrong! They did not change the drift term (drift coefficient) but the diffusion term (diffusion coefficient)!
isn't Ito's 3rd term 1/2 fxx(t,x(t))dt instead of 1/2 fxx(t,x(t))dx(t)dx(t)? 11:10
Small Correction- @13:19 fx(t,X(t)).dW(t) -> fx(t,X(t)).dX(t)
Why do the term R(0) disappear when f(t,x) was differentiated with respect to x? @ around 9.00 minute
don't think it should and believe it's necessary for later on when expressing df(t,x(t)) = alpha - beta* f(t,x(t))dt + sigma*dW(t)
The quality of the lectures went down drastically towards the end of this playlist. After a point, he was simply copying word to word from Shreve II. Very unfortunate end to what could have been a wonderful lecture series!
Please remove the footer when writing near the lower end of the board
19:28 Wrong! They did not change the drift term (drift coefficient) but the diffusion term (diffusion coefficient)!
isn't Ito's 3rd term 1/2 fxx(t,x(t))dt instead of 1/2 fxx(t,x(t))dx(t)dx(t)? 11:10
Small Correction- @13:19 fx(t,X(t)).dW(t) -> fx(t,X(t)).dX(t)
Why do the term R(0) disappear when f(t,x) was differentiated with respect to x? @ around 9.00 minute
don't think it should and believe it's necessary for later on when expressing df(t,x(t)) = alpha - beta* f(t,x(t))dt + sigma*dW(t)
The quality of the lectures went down drastically towards the end of this playlist. After a point, he was simply copying word to word from Shreve II. Very unfortunate end to what could have been a wonderful lecture series!
Please remove the footer when writing near the lower end of the board