Brownian motion, conditional expectation and martingales

21 Setembro 2016, 08:00 • João Guerra

Brownian motion: definition and basic properties. 

Conditional expectation: definition and basic properties. 

Filtration in a probability space: definition. 

Martingales in discrete time: definition and example. 

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Introduction. Brownian Motion

19 Setembro 2016, 10:00 • João Guerra

Presentation of the course. Programme, bibliography and assessment.

Brief introduction to the main ideas and history of Brownian motion and stochastic calculus. 

Definition of stochastic process.

Brownian motion: definition and basic properties.

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