Sumários
Martingales
9 Setembro 2025, 11:30 • João Guerra
Discussion of exercises on Brownian motion properties.
Martingales in discrete time and in continuous time: definitions and basic properties. Examples.
Brownia motion
8 Setembro 2025, 12:00 • João Guerra
Brownian motion: definition and basic properties.
Definition and basic properties of conditional Expectation, filtrations and martingales in discrete time.
Presentation of the course. Brownian motion.
1 Setembro 2025, 12:00 • João Guerra
Presentation of the course: Programme, bibliography, assessment.
Introduction to stochastic calculus and its history.
Basic concepts of stochastic processes.
Example: Poisson process.
Physical Brownian motion.
Definition of standard Brownian motion and of Brownian motion with drift.