Sumários
Martingales
22 Fevereiro 2023, 10:00 • João Guerra
Review on stochastic processes and probability.
Martingales in discrete time. Definition and probabilities. Examples.
Martingale transform or discrete stochastic integral. Examples.
Review of probability and stochastic processes
17 Fevereiro 2023, 11:00 • João Guerra
Different concepts of continuity for stochastic processes. Example.
Conditional expectation. Definition and properties.
Discussion of exercises on conditional expectation and stochastic processes.
Introduction and general definitions about stochastic processes
15 Fevereiro 2023, 10:00 • João Guerra
Introduction to the course: syllabus, assessment, bibliography.
Introduction to stochastic calculus main concepts and history.
Review of some general concepts on Stochastic Processes.