Teacher(s)

Hainaut Donatien;

Language

French

Main themes

Discrete time Martingales (sub-martingales and super-martingales), stationary processes, exchangeable processes, conditionally i.i.d. processes and Markov processes.

Aims

At the end of this learning unit, the student is able to :
1	Presentation of the main discrete time stochastic processes with an introduction to their statistical analysis.

The contribution of this Teaching Unit to the development and command of the skills and learning outcomes of the programme(s) can be accessed at the end of this sheet, in the section entitled “Programmes/courses offering this Teaching Unit”.

Other information

Prerequisite : The courses MAT1322 Théorie de la mesure and MAT1371 Probabilités are an essential prerequisite. References : NEVEU, J., Martingales à temps discret, Masson, 1972. BREIMAN, L., Probability, Addison-Wesley, 1968. CHOW, Y.S. and M. TEICHER, Probability Theory: Independence, Interchangeability, Martingales, Springer-Verlag, 1987. CHUNG K.L., A Course in Probability Theory. Harcourt, Brace & World Inc., 1968. KARLIN S. and H.M. TAYLOR, A First Course in Stochastic Processes, Academic Press, 1975. Evaluation : Each student receives 5 exercices to solve. He writes up the solutions and orally presents them to the professor. who may ask theoretical questions related to the subject of the proposed exercices.

Faculty or entity

MATH