Graduate Analysis Seminar
Geoff Lindsell
UIC
Conditioning, Martingales, and the Markov Property
Abstract: This talk will explore the basic properties of conditional expectation and martingales in the discrete time setting. We will discuss the fundamental inequalities, convergence concepts, and theorems (e.g. Uniformly Integrable Martingales, Doob's Optional Sampling Theorem) which may be generalized to the continuous time setting. The only prerequisites are a basic understanding of measure theory.
Monday March 11, 2013 at 3:00 PM in SEO 512