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Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
September 10–December 24, 2021, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom

We kindly ask all participants, including remote ones and those
watching recorded videos, to register at https://forms.gle/v5ajjrYnDFPq9XeH8.


A martingale is a random sequence (or process) that remains constant on average in the future. Martingales are widely used in probability theory and, in particular, in stochastic calculus, as well as in various applications, for example, in financial mathematics. The purpose of this course is to introduce students to the basic concepts and results of martingale theory. Some applications of martingales in financial mathematics will also be discussed. The whole presentation will be carried out for the case of discrete time. For understanding of the course, only the knowledge of the standard course of probability theory is required.

Просьба к участникам обращаться к Михаилу Валентиновичу Житлухину, mikhailzh@mi-ras.ru, за данными для подключения к занятиям через Zoom.

Financial support. The course is supported by the Simons Foundation and the Ministry of Science and Higher Education of the Russian Federation (the grant to the Steklov International Mathematical Center, Agreement no. 075-15-2019-1614).

RSS: Forthcoming seminars

Lecturer
Zhitlukhin Mikhail Valentinovich

Institutions
Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
Steklov International Mathematical Center


Course by M. V. Zhitlukhin "Introduction to the theory of martingales", September 10–December 24, 2021

October 29, 2021 (Fri)
1. Lecture 8. Introduction to the theory of martingales
M. V. Zhitlukhin
October 29, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom

October 22, 2021 (Fri)
2. Lecture 7. Introduction to the theory of martingales
M. V. Zhitlukhin
October 22, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom

October 15, 2021 (Fri)
3. Lecture 6. Introduction to the theory of martingales
M. V. Zhitlukhin
October 15, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
  

October 8, 2021 (Fri)
4. Lecture 5. Introduction to the theory of martingales
M. V. Zhitlukhin
October 8, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
  

October 1, 2021 (Fri)
5. Lecture 4. Introduction to the theory of martingales
M. V. Zhitlukhin
October 1, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
  

September 24, 2021 (Fri)
6. Lecture 3. Introduction to the theory of martingales
M. V. Zhitlukhin
September 24, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
  

September 17, 2021 (Fri)
7. Lecture 2. Introduction to the theory of martingales
M. V. Zhitlukhin
September 17, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
  

September 10, 2021 (Fri)
8. Lecture 1. Introduction to the theory of martingales
M. V. Zhitlukhin
September 10, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
M. V. Zhitlukhin
  
 
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