Lecture 16

11 Novembro 2021, 12:30 • Telmo Peixe

1. Markov chains: distributions, and homogeneous Markov chains. Definitions, properties, and resolution of exercises.
2. Presentation of the group work on applications of the Lebesgue integral to Mathematical Finance (chap. 4).

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Lecture 15

10 Novembro 2021, 12:30 • Telmo Peixe

1. General stochastic processes.
2. Sums of iid processes: limit theorems.
3. Markov chains: the Markov property, and distributions.

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Lecture 14

4 Novembro 2021, 12:30 • Telmo Peixe

Conditional expectation: definitions, properties and resolution of exercises.

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Lecture 13

3 Novembro 2021, 12:30 • Telmo Peixe

Independence: independent events, independent random variables and independent sigma-algebras. Definitions, properties and resolution of exercises.

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Lecture 12

28 Outubro 2021, 12:30 • Telmo Peixe

Distributions: classification of distributions, convergence in distribution, characteristic functions, and resolution of exercises.

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