Stochastic processes 2 (MATS253, 4 cr)
Spring 2010
Registration in Korppi system:
https://korppi.jyu.fi/kotka/course/teacher/ope_kurssit.jsp?course=70726
Contents
Martingale theory in discrete time: martingales, stopping times,
Doob-decomposition, Optional stopping theorem, Doob's maximal inequality,
uniformly integrable martingales.
Time and place
Lectures (24 hours) on Mondays 12-14 and Tuesdays 8-10
MaD380, starting on Monday, 15th March, 2010.
Exercises (6 x 2 hours) on Mondays 10-12 MaD245,
starting on Monday, 22nd March, 2010.
No lectures or exercises 29th March - 5th April
Exercise session 2 exceptionally on
Tuesday, 6th April, at 10.15 in MaD355
Examinations: 5th May, 2010 or 19th May, 2010.
Exercises
1.
2.
3.
4.
5.
6.
Literature
- S. Geiss: Stochastic processes in discrete time,
Lecture notes 62.
from Kampus Data
(on demand: inform tuula.blafield"at"jyu.fi before buying)
- A.N. Shiryaev: Probability, Springer.
- D. Williams:
Probability with Martingales (Cambridge)
Other
Courses on
stochastics, spring 2010