Reading Course: Martingales in Continuous Time
Dr. Alexander Kalinin
Schedule and Venue
| Events | Date/Time | Room |
|---|---|---|
| Weekly meetings Dr. Alexander Kalinin | Wednesday, 12:15 - 13:45 | B133 |
| Final Exam | TBA | |
The course is organised via Moodle. If you want to attend the course, please register in Moodle.
In this reading course, we will study stochastic processes in continuous time that happen to be sub- or supermartingales. In particular, this includes martingales. After proving Doob's maximal inequalities and stopping theorem, we will derive the quadratic variation of a local martingale. As a result, we will be able to understand the notion of a semimartingale.
- Revuz, D. and Yor, M.: Continuous martingales and Brownian motion, Springer-Verlag, 1999.
- Karatzas, I. and Shreve, S. E.: Brownian motion and stochastic calculus, Springer-Verlag, 1988.
Both books are available as PDF files for LMU students at the university library.
Target Participants: Master students in Mathematics.
Pre-requisites: Probability theory and measure and integration theory.
Applicable credits: 6 ECTS. Students may apply the credits from this course to the
- Master in Mathematics, PO 2021 (WP 36).