OBS! Updated 27/10 Schedule week 1 (27/10 and 28/10):
OBS! Updated 27/10 Schedule week 2 and after:
OBS! Updated 6/12!!! Schedule week 7 (6/12 and 7/12):
Teacher and examiner Erik Broman
Exam
Written. 17th of december, 8:30-13:30 in the V-house.
Purpose of course
To gain basic knowledge of discrete Martingales. The theory of Martingales is an extremely useful tool used in
Stochastic Processes, Financial Mathematics, Branching Theory, Diffusion Theory and Partial differential
to name a few! If time permits we might also spend some time on continuous martingales.
Prerequisites
In addition, general knowledge about probability theory is useful but not required. For instance courses such as
are (might be) useful.
What will we do?
Material that will definately be covered:
In addition, we will cover some or all of:
How many and which of the above bullets that will be presented depends on:
Who should take this course?
Everyone. In particular:
Organisation
The course will consist of lectures. In addition there might be home assignements and/or participant lectures.
Litterature
D. Williams: Probability with martingales, Cambridge Mathematical Textbooks
Cambridge University Press, Cambridge, 1991. ISBN: 0-521-40455-X; 0-521-40605-6