Explains the derivation of the Diffusion Convection equation or the Diffusion Equation with Drift using the Einstein approach, and gives its intuitive explanation.
Thanks Brian! We shall be adding more videos- Fokker Planck and all that. For now the purpose is to ease transition into local/stochastic volatility, and to cover some PDEs/ODEs that get used in finance. We shall return to this playlist again!
@@quantpie Awesome. I've really been struggling with understanding the infinitesimal generator, possibly because I never took a algebra course to understand why we introduce semi-groups or their importance. Would you be open to in the future at your convenience making a short video on this?
Here's essentially the same question as mine for some context - and the passage I was thinking of from Schillings text. math.stackexchange.com/questions/694227/what-is-the-importance-of-the-infinitesimal-generator-of-brownian-motion
