Martingale Theory with Applications, Autumn 2022

MATH30027, MATHM0045


 
Márton Balázs
Email:m.balazs@our_city.ac.countrycode
Tel:+44 (0) 117 4557958
Office:Fry 1.44
Drop in Sessions: Wednesdays 13:30 - 14:30, 1.44 Fry on teaching weeks.
Support Sessions: From the second week by Ettore Fincato, see your timetables.
Q&A Session: Friday 6th January, 11:00am, see Blackboard for Zoom link. Prepare with questions.

 
 
  • The unit description for level H/6, including assessment methods, texts, syllabus.
     
  • The unit description for level M/7, including assessment methods, texts, syllabus.
     
  • This unit will happen face-to-face, and you are expected to follow lectures in the classroom. Nevertheless, I will link YouTube videos from previous years on most but not all of the material, see the column "Past videos" in the table. I hope YouTube works for everyone interested, let me know otherwise.
     
  • I will assume familiarity with the following concepts from calculus and analysis, but of course I'm happy to discuss these outside class:
    • basic properties, derivatives and integrals of elementary functions like polynomials, exponential, logarithm, trigonometric and some hyperbolic functions
    • the definition of limit, liminf and limsup of real-valued sequences
    • that monotone sequences have limits
    • the definition of a Cauchy sequence and that these are convergent in ℝ
    • that 1/np is summable for p>1 but not for p≤1, and the analogous statement for integrals
    • that exponentials converge/diverge faster than any polynomial
    • the triangle inequality for absolute value
    • the way to find maxima and minima of smooth real to real functions
    • the Heine–Cantor theorem on uniform continuity of continuous real-valued functions on a closed and bounded real interval

     
  • Lecture notes (last modified: 10 Dec 2022). Please send me comments (e.g., typos). Most of these notes are based on A.N. Shyriaev: Probability (Second Edition, Springer) and D. Williams: Probability with Martingales (Cambridge University Press) which you can take a look into yourself. These latter are however advisory, examinable is what is featured in lectures.
     
  • Extended slides/notes of elementary probability. Some of it can be used as reference and refreshment for parts of the Probability 1 and Advanced Probability 2 units. We will not touch most of this material in class. Please notice that these links are by no means meant to fully cover our material, nor will all parts of all of them be assessed. They rather serve as background reading. (They were actually part of lecture notes for a rather strong first probability unit I used to teach before.)
     
  • Remark on the assessments: there will be no distinction between levels H/6 and M/7 regarding homeworks. Six homework sets will be assigned, see the schedule below. Please note, these qualify as progress check, meaning no late submissions will be accepted. My marking deadline is one week after the respective due dates. From each of these, you can collect 17 homework marks. Your final mark will be weighted as 20% -- 80% homework mark -- exam mark.
     
  • A few more remarks on the exam: for both levels, final examination will be 2½-hour long, will consist of four questions each of which will be used for assessment. The exams at levels H/6 and M/7 will have cca. 80% overlap. Calculators of an approved type, as well as four sheets of A4 notes written double-sided can be brought into the examination. Past exams, one with solutions, are to be found on the Blackboard page Resources for studentsExaminations.
     
  • I came across this illustration of Jensen's inequality: square-root of the average ≠ average of the square-root.

Below is a detailed schedule. Topics of future events are plans, and can change. Topics of past events serve as log.

Homeworks are/will also be posted here: just click those with a link below. They are due every second Thursday at 12:00pm in Blackboard.

Homework solutions will appear on Blackboard, please email me if you have problem accessing these.


 
Date Topics Past videos Homework due:
Mon 26 Sep Measure Theory (basic notions, probability)
1, 2 --
Thu 29 Sep Measure Theory (basic notions, probability)
3, 4   --
Fri 30 Sep Ex. class (sigma-algebras, random variables, stochastic processes, conditional expectation) 5, 6
--
Mon 3 Oct Expectation, conditional expectation
7, 8 --
Thu 6 Oct Conditional expectation 9, 10 by noon:
HW1 (sol. on Bb.)
Fri 7 Oct Conditional expectation 11
--
Mon 10 Oct Conditional expectation --
Thu 13 Oct Probabilistic tools: Borel Cantelli lemmas 12, 13, 14 --
Fri 14 Oct Ex. class (probabilistic tools) 25, 26, 27, 28 --
Mon 17 Oct Probabilistic tools: limits and expectations 15, 16, 17 --
Thu 20 Oct Probabilistic tools: Fubini; inequalities 18, 19
by noon:
HW2 (sol. on Bb.)
Fri 21 Oct Probabilistic tools: inequalities 20, 21 --
Mon 24 Oct Modes of convergence; relations 22, 23, 24 --
Thu 27 Oct Filtrations, Martingales 29 --
Fri 28 Oct Ex. class (martingales: ABRACADABRA) --
Mon 31 Oct Martingales, stopping times 30, 31, 32 --
Thu 3 Nov Random walks and martingales by noon:
HW3 (sol. on Bb.)
Fri 4 Nov Random walks and martingales --
Mon 7 Nov Upcrossing Lemma, martingale convergence 33, 34 --
Thu 10 Nov Martingale convergence; L2 convergence 35
--
Fri 11 Nov Ex. class (martingale convergence) --
Mon 14 Nov Doob's decomposition --
Thu 17 Nov Uniform integrability by noon:
HW4 (sol. on Bb.)
Fri 18 Nov UI and convergence: proofs 36, 37, 38, 39, 40, 41, 42 --
Mon 21 Nov UI martingales 43, 44 --
Thu 24 Nov Tail σ-algebra, 0-1 law; Strong Law of Large Numbers 45, 46, 47 --
Fri 25 Nov Ex. class (Doob's decomp., UI martingales) --
Mon 28 Nov Doob's submartingale inequality 48 --
Thu 1 Dec Doob's submartingale inequality by noon:
HW5 (sol. on Bb.)
Fri 2 Dec Doob's submartingale inequality: Azuma-Hoeffding --
Mon 5 Dec European option, hedging strategy 49, 50 --
Thu 8 Dec Black-Scholes optional pricing and proof 51 --
Fri 9 Dec Ex. class (Doob submart. ineq., Azuma-Hoeffding) --
Mon 12 Dec Black-Scholes optional pricing proof 52 --
Thu 15 Dec Review by noon:
HW6 (sol. on Bb.)
Fri 16 Dec Review --

 
 

 

If you have any questions, please contact me (see on top). Click here to see my calendar.


 

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