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Course by M. V. Zhitlukhin "Theory of martingales and stochastic integration"
September 16–December 9, 2022, online
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A martingale is a stochastic process which remains constant on average in the future. Martingales are widely used in probability theory and stochastic calculus, as well as in various applied areas, for example in mathematical finance. The goal of this course is to give an introduction to the theory of martingales and their applications related to integration with respect to stochastic processes.
Financial support. The course is supported by the Ministry of Science and Higher Education of the Russian Federation (the grant to the Steklov International Mathematical Center, Agreement no. 075-15-2022-265).
 Program
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 "Theory of martingales and stochastic integration", September 16–December 9, 2022 |
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December 9, 2022 (Fri) |
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Lecture 12. Theory of martingales and stochastic integration
M. V. Zhitlukhin
December 9, 2022 18:00, online
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December 2, 2022 (Fri) |
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| 2. |
Lecture 11. Theory of martingales and stochastic integration
M. V. Zhitlukhin
December 2, 2022 18:00, online
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November 25, 2022 (Fri) |
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| 3. |
Lecture 10. Theory of martingales and stochastic integration
M. V. Zhitlukhin
November 25, 2022 18:00, online
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November 18, 2022 (Fri) |
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| 4. |
Lecture 9. Theory of martingales and stochastic integration
M. V. Zhitlukhin
November 18, 2022 18:00, online
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November 11, 2022 (Fri) |
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| 5. |
Lecture 8. Theory of martingales and stochastic integration
M. V. Zhitlukhin
November 11, 2022 18:00, online
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November 4, 2022 (Fri) |
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| 6. |
Lecture 7. Theory of martingales and stochastic integration
M. V. Zhitlukhin
November 4, 2022 18:00, online
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October 28, 2022 (Fri) |
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| 7. |
Lecture 6. Theory of martingales and stochastic integration
M. V. Zhitlukhin
October 28, 2022 18:00, online
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October 14, 2022 (Fri) |
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| 8. |
Lecture 5. Theory of martingales and stochastic integration
M. V. Zhitlukhin
October 14, 2022 18:00, online
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October 7, 2022 (Fri) |
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| 9. |
Lecture 4. Theory of martingales and stochastic integration
M. V. Zhitlukhin
October 7, 2022 18:00, online
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September 30, 2022 (Fri) |
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| 10. |
Lecture 3. Theory of martingales and stochastic integration
M. V. Zhitlukhin
September 30, 2022 18:00, online
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September 23, 2022 (Fri) |
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| 11. |
Lecture 2. Theory of martingales and stochastic integration
M. V. Zhitlukhin
September 23, 2022 18:00, online
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September 16, 2022 (Fri) |
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| 12. |
Lecture 1. Theory of martingales and stochastic integration
M. V. Zhitlukhin
September 16, 2022 18:00, online
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