Change of probability measure for Poisson process

Рет қаралды 2,977

2 жыл бұрын

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

Пікірлер: 10

@ivelinamladenova7066 2 жыл бұрын

Thank you so much for sharing this!

@quantpie 2 жыл бұрын

You are so welcome! thank you!

@yeoyeodere1 2 жыл бұрын

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?

@quantpie 2 жыл бұрын

You're welcome @Rupert Kenna! Hope you are well! Yes Levy-Khintchine is not too far away now.

@lightningblade9347 2 жыл бұрын

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?

@quantpie 2 жыл бұрын

Eventually yes! Very close to our hearts, and should have covered by now, but it is just the demand slowing us down! many thanks!

@thehardlife5588 2 жыл бұрын

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?

@quantpie 2 жыл бұрын

Thanks for the great question! You captured the essence of it! When we change probability measure we keep the random variable unchanged- the only thing that changes is the probability of the variable taking diffferrn values ( in the most simple case, in reality it is slicker more complicated as we need to consider it in terms of sigma-algebra and all that!).