Probability Theory 2 - NSTP051
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Last update: T_KPMS (09.05.2008)
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Last update: T_KPMS (09.05.2008)
To explain basics of the martingale theory. |
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Last update: T_KPMS (16.05.2011)
Štěpán J.: Teorie pravděpodobnosti. Matematické základy. Academia, Praha, 1987
Kallenberg, O.: Foundations of modern probability. Springer, 1997.
Lachout, P.: Diskrétní martingaly. Karolinum, Praha, 2007. |
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Last update: G_M (27.05.2008)
Lecture. |
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Last update: T_KPMS (09.05.2008)
Martingales with discrete time, compensator, stopping time, optional stopping, optional sampling theorem, maximal inequalities, convergence of submartingales, central limit theorem for martingale differences. |