Game theory | Martingale theory | Stochastic processes
In probability theory, a martingale is a sequence of random variables (i.e., a stochastic process) for which, at a particular time, the conditional expectation of the next value in the sequence is equal to the present value, regardless of all prior values. (Wikipedia).
(PP 6.1) Multivariate Gaussian - definition
Introduction to the multivariate Gaussian (or multivariate Normal) distribution.
From playlist Probability Theory
(PP 6.2) Multivariate Gaussian - examples and independence
Degenerate multivariate Gaussians. Some sketches of examples and non-examples of Gaussians. The components of a Gaussian are independent if and only if they are uncorrelated.
From playlist Probability Theory
(PP 6.6) Geometric intuition for the multivariate Gaussian (part 1)
How to visualize the effect of the eigenvalues (scaling), eigenvectors (rotation), and mean vector (shift) on the density of a multivariate Gaussian.
From playlist Probability Theory
(PP 6.7) Geometric intuition for the multivariate Gaussian (part 2)
How to visualize the effect of the eigenvalues (scaling), eigenvectors (rotation), and mean vector (shift) on the density of a multivariate Gaussian.
From playlist Probability Theory
(PP 6.3) Gaussian coordinates does not imply (multivariate) Gaussian
An example illustrating the fact that a vector of Gaussian random variables is not necessarily (multivariate) Gaussian.
From playlist Probability Theory
Intro to Bayes’s Theorem | Probability Theory
What is Bayes’s theorem for conditional probability? We'll be proving it briefly in today's lesson, as it is a direct result of the definition of conditional probabilities. We'll also see how Baye's theorem works with a sample space partitioned into separate events, and an example of apply
From playlist Probability Theory
(PP 6.4) Density for a multivariate Gaussian - definition and intuition
The density of a (multivariate) non-degenerate Gaussian. Suggestions for how to remember the formula. Mathematical intuition for how to think about the formula.
From playlist Probability Theory
Conditional Probability: Bayes’ Theorem – Disease Testing (Table and Formula)
This video shows how to determine conditional probability using a table and using Bayes' theorem. @mathipower4u
From playlist Probability
15. Graph limits II: regularity and counting
MIT 18.217 Graph Theory and Additive Combinatorics, Fall 2019 Instructor: Yufei Zhao View the complete course: https://ocw.mit.edu/18-217F19 YouTube Playlist: https://www.youtube.com/playlist?list=PLUl4u3cNGP62qauV_CpT1zKaGG_Vj5igX Prof. Zhao explains how graph limits can be used to gener
From playlist MIT 18.217 Graph Theory and Additive Combinatorics, Fall 2019
4 3 Risk neutral pricing Part 2
BEM1105x Course Playlist - https://www.youtube.com/playlist?list=PL8_xPU5epJdfCxbRzxuchTfgOH1I2Ibht Produced in association with Caltech Academic Media Technologies. ©2020 California Institute of Technology
From playlist BEM1105x Course - Prof. Jakša Cvitanić
David Kelly: Fast slow systems with chaotic noise
Find this video and other talks given by worldwide mathematicians on CIRM's Audiovisual Mathematics Library: http://library.cirm-math.fr. And discover all its functionalities: - Chapter markers and keywords to watch the parts of your choice in the video - Videos enriched with abstracts, b
From playlist Probability and Statistics
Expected Value of the Bernoulli Distribution | Probability Theory
How do we derive the mean or expected value of a Bernoulli random variable? We'll be going over that in today's probability theory lesson! Remember a Bernoulli random variable is a random variable that is equal to 1 (success) with probability p and equal to 0 (failure) with probability 1-
From playlist Probability Theory
Optimal Transportation and Applications - 14 November 2018
http://crm.sns.it/event/436 It is the ninth edition of this "traditional'' meeting in Pisa, after the ones in 2001, 2003, 2006, 2008, 2010, 2012, 2014 and 2016. Organizing Committee Luigi Ambrosio, Scuola Normale Superiore, Pisa Giuseppe Buttazzo, Dipartimento di Matematica, Università
From playlist Centro di Ricerca Matematica Ennio De Giorgi
Daniel Balint: Discounting invariant FTAP for large financial markets
Abstract: For large financial markets as introduced in Kramkov and Kabanov 94, there are several existing absence-of-arbitrage conditions in the literature. They all have in common that they depend in a crucial way on the discounting factor. We introduce a new concept, generalizing NAA1 (K
From playlist Probability and Statistics
Random Products and Quantum Simulation by Joel Tropp
PROGRAM: ADVANCES IN APPLIED PROBABILITY II (ONLINE) ORGANIZERS: Vivek S Borkar (IIT Bombay, India), Sandeep Juneja (TIFR Mumbai, India), Kavita Ramanan (Brown University, Rhode Island), Devavrat Shah (MIT, US) and Piyush Srivastava (TIFR Mumbai, India) DATE: 04 January 2021 to 08 Januar
From playlist Advances in Applied Probability II (Online)
Wilhem Stannat - Fluctuation limits for mean-field interacting nonlinear Hawkes processes
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From playlist Workshop "Workshop on Mathematical Modeling and Statistical Analysis in Neuroscience" - January 31st - February 4th, 2022
Anton Thalmaier: The geometry of subelliptic diffusions
Find this video and other talks given by worldwide mathematicians on CIRM's Audiovisual Mathematics Library: http://library.cirm-math.fr. And discover all its functionalities: - Chapter markers and keywords to watch the parts of your choice in the video - Videos enriched with abstracts, b
From playlist Probability and Statistics
Dylan Possamaï: Principal Agent Modelling - lecture 2
CIRM HYBRID EVENT These lectures will consist in an overview of recent progresses made in contracting theory, using the so-called dynamic programming approach. The basic situation is that of a Principal wanting to hire an Agent to do a task on his behalf, and who has to be properly incenti
From playlist Probability and Statistics
From playlist NPTEL : Probability and Stochastics for Finance
Etienne Pardoux: Uniqueness of the filtering equations in the space of measures
HYBRID EVENT Recorded during the meeting " Probability/PDE Interactions: Interface Models and Particle Systems " the April 28, 2022 by the Centre International de Rencontres Mathématiques (Marseille, France) Filmmaker: Guillaume Hennenfent Find this video and other talks given by world
From playlist Probability and Statistics