Geoff Lindsell : Conditioning, Martingales, and the Markov Property (continued)

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

At

March 18, 2013, 3 p.m.

In

SEO 512

Abstract

We continue to explore Doob's theory of martingales in the discrete time setting (rigorously enough to get an idea of how these concepts work in the continuous time setting). We will discuss two major theorems from the theory of uniformly integrable martingales: Doob's L^p inequality, and the Optional Sampling Theorem.