Graduate Analysis Seminar
Geoff Lindsell
UIC
Conditioning, Martingales, and the Markov Property (continued)
Abstract: We continue to explore Doob's theory of martingales in the discrete time setting (rigorously enough to get an idea of how these concepts work in the continuous time setting). We will discuss two major theorems from the theory of uniformly integrable martingales: Doob's L^p inequality, and the Optional Sampling Theorem.
Monday March 18, 2013 at 3:00 PM in SEO 512