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A review of probability theory foundations
ECTS : 0
Volume horaire : 15
Description du contenu de l'enseignement :
- Random variables, expectations, laws, independence
- Inequalities and limit theorems, uniform integrability
- Conditioning, Gaussian random vectors
- Bounded variation and Lebegue-Stieltjes integral
- Stochastic processes, stopping times, martingales
- Brownian motion: martingales, trajectories, construction
- Wiener stochastic integral and Cameron-Martin formula.
Université Paris Dauphine - PSL - Place du Maréchal de Lattre de Tassigny - 75775 PARIS Cedex 16 - 21/11/2024