"G. d'Annunzio"
Having passed the exams of Probability and Mathematical analysis
This is an optional course. The aim of the course is to introduce some Probability concepts that are extremely important in moder Finance, in a fairly rigorous way. The course will be helpful to students who intend to pursue a master degree.
EXPECTED LEARNING RESULTS
KNOWLEDGE AND UNDERSTANDING Acquire the basic concepts and properties of Markov chains and discrete time martingales, in a fairly rigorous way.
JUDGEMENT ABILITY To develop the ability to read a mathematical text with some degree of autonomy.
COMMUNICATION ABILITY To be able to expose the acquired knowledge in a rigorous and complete way.
Introduction to Markov chains and discrete time martingales.
Sigma-algebras, discrete time filtrations, random variables, discrete time stochastic processes, adapted and predictable processes. Markov chains. Discrete time martingales.
J. Jacod, P. Protter, Probability essentials, 2nd edition, Springer, 2004
Meetings with the teacher. Personal reading and studying.
Expository talk or oral exam.
web page https://www.dec.unich.it/home-caroli-costantini-cristina-146 E-mail: c.costantini@unich.it
