Unit name | Martingale Theory with Applications 3 |
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Unit code | MATH36204 |
Credit points | 10 |
Level of study | H/6 |
Teaching block(s) |
Teaching Block 1A (weeks 1 - 6) |
Unit director | Dr. Yu |
Open unit status | Not open |
Pre-requisites |
Applied Probability 2 (MATH 21400) |
Co-requisites |
None |
School/department | School of Mathematics |
Faculty | Faculty of Science |
The theory of martingales is of fundamental importance to probability theory, statistics, and mathematical finance. This unit is a concise introduction of the basic concepts, results and examples of this powerful and elegant theory. Along with lectures given by the main lecturer, there will be one week of lectures given by other staff that are devoted to specific examples of the application of martingale theory in current area of research in probability and statistics.