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Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
September 10–December 10, 2021, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
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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).
 Lecturer
Zhitlukhin Mikhail Valentinovich
Institutions
Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
Steklov International Mathematical Center |
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| Course by M. V. Zhitlukhin "Introduction to the theory of martingales", September 10–December 10, 2021 |
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December 10, 2021 (Fri) |
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| 1. |
Lecture 13. Introduction to the theory of martingales
M. V. Zhitlukhin
December 10, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
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December 3, 2021 (Fri) |
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| 2. |
Lecture 12. Introduction to the theory of martingales
M. V. Zhitlukhin
December 3, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
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November 26, 2021 (Fri) |
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| 3. |
Lecture 11. Introduction to the theory of martingales
M. V. Zhitlukhin
November 26, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
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November 19, 2021 (Fri) |
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| 4. |
Lecture 10. Introduction to the theory of martingales
M. V. Zhitlukhin
November 19, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
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November 12, 2021 (Fri) |
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| 5. |
Lecture 9. Introduction to the theory of martingales
M. V. Zhitlukhin
November 12, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
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October 29, 2021 (Fri) |
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| 6. |
Lecture 8. Introduction to the theory of martingales
M. V. Zhitlukhin
October 29, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
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October 22, 2021 (Fri) |
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| 7. |
Lecture 7. Introduction to the theory of martingales
M. V. Zhitlukhin
October 22, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
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October 15, 2021 (Fri) |
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| 8. |
Lecture 6. Introduction to the theory of martingales
M. V. Zhitlukhin
October 15, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
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October 8, 2021 (Fri) |
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| 9. |
Lecture 5. Introduction to the theory of martingales
M. V. Zhitlukhin
October 8, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
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October 1, 2021 (Fri) |
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| 10. |
Lecture 4. Introduction to the theory of martingales
M. V. Zhitlukhin
October 1, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
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September 24, 2021 (Fri) |
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| 11. |
Lecture 3. Introduction to the theory of martingales
M. V. Zhitlukhin
September 24, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
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September 17, 2021 (Fri) |
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| 12. |
Lecture 2. Introduction to the theory of martingales
M. V. Zhitlukhin
September 17, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
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September 10, 2021 (Fri) |
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| 13. |
Lecture 1. Introduction to the theory of martingales
M. V. Zhitlukhin
September 10, 2021 18:00, Steklov Mathematical Institute, Room. 303 (8 Gubkina) + Zoom
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