ABSTRACT

What is a martingale, and what is it good for? (in the series ``Basic Notions in Mathematics'')
Chris Rogers,June 12, 2003
These talks will introduce some of the basic ideas of martingale theory, and the key results (there are really only two). We will then see some examples where the use of martingale methods provides a quick proof (and clear insight into) an otherwise difficult result. I will need to assume that those listening are familiar with certain basic notions of probability; random variable, expectation, sample space, independence, variance, sigma-field. I will probably be using examples based on simple (discrete-time) Markov chains, so familiarity with the notions of those would be an advantage, but not essential.
PROGRAM:
  • 15.00-15.30: Coffee and tea in "de Eigenruimte" at Mathematical Instituut
  • 15.30-17.15: Stafcolloquium in "Minneartgebouw" room 211 Chris Rogers (Cambridge) - Fundamental Notion: the Martingale
  • 17.20- : Drinks in "de Eigenruimte"
    How to get there?
    Back to the history of the seminar or the Colloquium Stochastiek homepage.
    Igor Grubisic (grubisic@math.uu.nl)