Sumários
Brownian motion
27 Fevereiro 2024, 11:30 • João Guerra
Brownian motion. Definition and main properties.
Processes realted to Brownian motion. Examples.
Martingales and Brownian motion. Examples.
Martingales
22 Fevereiro 2024, 11:00 • João Guerra
Martingales in Discrete time and in continuous time. Examples.
The martingale transform or discrete stochastic integral. Examples.
Discussion of some exercises.
Review of some basic concepts of stochastic processes and conditional expectation. Exercises.
20 Fevereiro 2024, 11:30 • João Guerra
Review of some basic concepts of stochastic processes and conditional expectation.
Discussion of some exercises.
Presentation of the course - Introduction and review of some stochastic processes concepts
15 Fevereiro 2024, 11:00 • João Guerra
Presentation of the course: syllabus, bibliography and assessment.
A very brief introduction to stochastic calculus and its history.
Review of some basic concepts concepts of stochastic processes.