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Unit information: Martingale Theory with Applications 3 in 2013/14

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Unit name Martingale Theory with Applications 3
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

Description

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.

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