Discrete processes
Ects : 8
Enseignant responsable :
Volume horaire : 79Description du contenu de l'enseignement :
- Conditional expectation: definition and construction, properties
- Processes: filtrations, stopping times, sigma-field of the past
- Martingales: definition, stopping theorems, convergence theorems, maximal inequalities
- Markov chains: definition, random inductions, properties, Markov properties, recurrence and transience, invariant measures, ergodic theory
Compétence à acquérir :
Discrete-time stochastic processes, including conditional expectation, martingales, and Markov chains and their long-term behavior.