La. 12. Ch. Suquet Martingales
INTRODUCTION AUX MARTINGALES 1. PRÉPARATION À L'AGRÉGATION EXTERNE DE MATHÉMATIQUES DE L'UNIVERSITÉ RENNES 1. ANNÉE 2010/2011. 1. ESPÉRANCE CONDITIONNELLE.
Épreuve de mathématiques générales : mardi 20 avril 2010 ; Espérance conditionnelle définition des martingales
http://www.univ-orleans.fr/mapmo/membres/berglund/agreg.html Espérance conditionnelle définition des martingales
PRÉPARATION À L'AGRÉGATION EXTERNE DE MATHÉMATIQUES DE L'UNIVERSITÉ En tant que martingale EI la martingale de Doob est convergente p.s. et dans L1. On.
14 problèmes corrigés - Agrégation externe - Mathématiques Analyse pour le CAPES et l'Agrégation interne de. Mathématiques ... martingales et stratégie.
9 Annexe 3 : Le programme 2009 - 2010 ou sur le site de l'agrégation externe de mathématiques à l'adresse http://www.agreg.org
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Concours internes de l'agrégation du second degré et concours internes d'accès rèmes de convergence presque sûre et L2 des martingales à temps discret.
MARTINGALES. PRÉPARATION À L'AGRÉGATION EXTERNE DE MATHÉMATIQUES DE L'UNIVERSITÉ RENNES 1 1. ANNÉE 2011/2012. 1. EQUI-NTEGRABILITE.
December 2 2010 Informally amartingaleis simply a stochastic process Mt de?ned on someprobability space (?FP) and indexed by some ordered setTthat is “con-ditionally constant”i e whose predicted value at any future times > t isthe same as its present value at the timet of prediction
6 Ch SuquetMartingales Agrégation 2010 1 2 Propriétés de l’espérance conditionnelle Proposition 1 3 (Linéarité) L’espérance conditionnelle E
Nuno Azevedo (CEMAPRE - ISEG - UTL) LXDS Seminar September 30 2010 11 / 25 Martingale Representation Theorem If S = R n and Ais the Borel ?-algebra of R n then there is an h : R n !R
The theory of martingales (and submartingales and supermartingales and other related concepts) has had a profound effect on modern probability theory Whole branches of probability such as stochastic calculus rest on martingale foundations The theory is elegant and powerful: amazing consequences ?ow from an innocuous
Cambridge fourth edition 2010 [KT75]Samuel Karlin and Howard M Taylor A ?rst course in stochastic pro-cesses Academic Press [A subsidiary of Harcourt Brace Jovanovich Publishers] New York-London 1975 [Wil91]David Williams Probability with martingales Cambridge Mathematical Textbooks Cambridge University Press Cambridge 1991
Martingales 5 1 De?nitions and properties The theory of martingales plays a very important ans ueful role in the study of stochastic processes A formal de?nition is given below De?nition 5 1 Let (?FP) be a probability space A martingale se-quence of length nis a chain X 1X 2···X n of random variables and corre-sponding sub
G-martingales Section3defines the quasi-sure analysis of Denis and Martini and also providesthe dual formulation The main ingredients for our approach such as the norms and spaces arecollected in Section4 The main result is then stated and proved in Section5
Martingales and Stopping Times Use of martingales in obtaining bounds and analyzing algorithms Paris Siminelakis School of Electrical and Computer Engineering at the National TechnicalUnivercity of Athens 24/3/2010 Outline Martingales FiltrationConditional ExpectationMartingales Concentration Results for Martingales
The theory of martingales depends heavily on the use of conditional expectations We therefore rst describe expectation and conditional expectation and the associated theorems needed Material in this section is from [8] unless otherwise marked Not all of the material in this chapter is required to study martingales: the important
Local Martingales and Filtration Shrinkage Hans F ollmer Philip Protter y March 30 2010 Abstract A general theory is developed for the projection of martingale re-lated processes onto smaller ltrations to which they are not even adapted Martingales supermartingales and semimartingales retain
Local martingales which are not martingales (known as “strict” local martingales) arise naturally in the Doob–Meyer decomposition and in multiplicative functional decompositions as well as in stochastic integration theory
2010 Mathematics subject classi?cation: primary 60G44; secondary 60H10 Keywords and phrases: ?ltrations causality representation property semimartingale stochastic di erential equations 1 Introduction In this paper we consider a martingale representation The representation property says