Change of probability measure for Poisson process

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Discusses the change of probability measure for the Poisson process, and related concepts such as Radon-Nikodym derivative, and change of drift.
  1. quantpie
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Комментарии
Автор

Thank you for the video. I think there was a connection to Levy processes mentioned in an earlier video but I havent seen this covered in subsequent videos. I'm looking for an intelligible explanation of the Levy-Khintchine formula. Will you be covering that please?

yeoyeodere
Автор

Dear quantpie, thank you so much for the video. If you don't mind me asking, do you plan on making some videos treating some optimal stopping times problems in the near future?

lightningblade
Автор

How come when you change the probability measure you often give a transformation of the random variable in continous probability but in this instance you change lambda and not N which is the random variable?

thehardlife