lmat2470  2019-2020  Louvain-la-Neuve

Note from June 29, 2020
Although we do not yet know how long the social distancing related to the Covid-19 pandemic will last, and regardless of the changes that had to be made in the evaluation of the June 2020 session in relation to what is provided for in this learning unit description, new learnig unit evaluation methods may still be adopted by the teachers; details of these methods have been - or will be - communicated to the students by the teachers, as soon as possible.
5 credits
30.0 h
Hainaut Donatien;
Main themes
Discrete time Martingales (sub-martingales and super-martingales), stationary processes, exchangeable processes, conditionally i.i.d. processes and Markov processes.

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”.
Evaluation methods
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.
Other information
Prerequisite : The courses MAT1322 Théorie de la mesure and MAT1371 Probabilités are an essential prerequisite.
  • 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.
Teaching materials
  • matériel sur moodle
Faculty or entity

Programmes / formations proposant cette unité d'enseignement (UE)

Title of the programme
Master [120] in Mathematics

Master [120] in Actuarial Science

Master [60] in Physics

Master [120] in Statistic: General

Master [120] in Physics