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This document provides an introduction to Brownian motion and Itô calculus. It defines Brownian motion and presents some of its key properties, including that it is a continuous-time Markov process. Brownian motion exhibits independence and normal distributions of increments. The document also introduces martingales related to Brownian motion and some important stopping times. Finally, it discusses how Brownian motion is invariant under transformations like time translation, scaling, reflection, and time in

Author

Arturo Zamudio

Language

EN