Ito Processes, Correlated Sampling and Applications
1:02:51
Microsoft
Ito Processes, Correlated Sampling and Applications
We will see the basics of Ito calculus and Girsanov’s change of measure formula. Following Lehec, one can use these tools to construct a “minimum energy” coupling (Follmer’s drift) between the Gaussian measure and any other absolutely continuous probability measure on Rn. The log-Sobolev inequality and Talagrand’s Entropy-Transport ...
Aug 1, 2014
Itô's lemma Itôs Lemma Explained
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