discipline

MSc in Mathematics

subject

Theory of martingales (module Probability theory)

lecturers

Tamás F. Móri, Dept. of Probability Theory and Statistics, Institute of Mathematics

credits

2

period

1st semester

curriculum

The convergence set of square integrable martingales.  Regular stopping times, Wald’s identity. Application of martingales: the Conway algorithm, optimal strategies in favorable games, branching processes with two types of individuals. Martingales in Hilbert spaces. CLT for martingales. Reversed martingales, U-statistics, interchangeability.

literature

 

form of tuition

Lecture

mode of assessment

oral exam