Geoff Lindsell : Conditioning, Martingales, and the Markov Property

Posted by Geoff Lindsell , part of the Graduate Analysis Seminar.

At

March 11, 2013, 3 p.m.

In

SEO 512

Abstract

This talk will explore the basic properties of conditional expectation and martingales in the discrete time setting. We will discuss the fundamental inequalities, convergence concepts, and theorems (e.g. Uniformly Integrable Martingales, Doob's Optional Sampling Theorem) which may be generalized to the continuous time setting. The only prerequisites are a basic understanding of measure theory.