8. Further Properties of Stochastic Integrals | Stochastic Analysis

Stochastic Analysis in Finance and Economics We will examine further properties of stochastic integrals — in particular the stochastic Riemann integral, the stochastic Riemann-Stieltjes integral and the Itô integral — regarding their existence, moments and distributions. Links: ✅ Materials: https://tinyurl.com/stochastic-docs ✅ Video-playlist: https://tinyurl.com/stochastic-playlist Contact: ☑️ Email: cserna ⓐ econ.uni-frankfurt.de ☑️ Telegram: https://t.me/bcserna ☑️ Instagram:   / dr.bcc   ☑️ Subscribe: https://t1p.de/cserbal-sub 0:00:00 Intro 0:00:10 Content 0:02:01 Integrated Wiener process 0:05:34 Stochastic Riemann integrals 0:10:51 Fubini's theorem 0:20:20 Example: Fubini's theorem 0:26:13 Lemma 1: Existence of stochastic Riemann integrals 0:40:57 Lemma 2: Existence of stochastic Riemann integrals 0:45:56 Example: Existence of stochastic Riemann integrals 0:49:39 Moments of stochastic Riemann integrals 1:02:26 Distribution of stochastic Riemann integrals 1:04:44 Stochastic Riemann-Stieltjes integrals 1:07:52 Existence of stochastic Riemann-Stieltjes integrals 1:14:00 Example: Existence of stochastic Riemann-Stieltjes integrals 1:19:58 Moments of stochastic Riemann-Stieltjes integrals 1:24:16 Distribution of of stochastic Riemann-Stieltjes integrals 1:31:20 Itô integrals 1:36:06 Moments of Itô integrals 1:47:29 Distribution of Itô integrals 1:53:11 General Itô integrals w.r.t. Wiener processes 1:55:51 Existence of Itô integrals 1:59:12 Moments of Itô integrals