Sumários
Martingales in discrete time
25 Fevereiro 2022, 10:00 • João Guerra
Discussion of exercises on conditional expectation.
Martingales in discrete time. Definition, properties and examples.
The martingale transform or discrete time integral. Examples.
Review of stochastic processes
18 Fevereiro 2022, 10:00 • João Guerra
Continuous processes. Continuity in probability and in mean or order p. Example.
The Kolmogorov continuity criterion.
Conditional expectation: definition, basic properties and examples.
Exercises.
Presentation. Brief review about basic concepts of stochastic processes
17 Fevereiro 2022, 13:30 • João Guerra
Presentation, Program, bibliography, assessment.
Introduction.
Brief review about basic concepts of stochastic processes: definition, sample paths, finite dimensional distributions, Gaussian processes, strongly stationary processes, processes with independent increments and stationary increments.
Equivalent processes and indisstinguishable processes. Examples: white noise process, Poisson process.