Martingales et calcul stochastique
History and Overview
2013-12-31 v1 Probability
Abstract
Lecture notes for a master-level mathematics course on martingales and stochastic calculus, held at the University of Orl\'eans, France. With corrected exercises. Contents: Discrete-time martingales, stopping times, convergence theorems. Brownian motion, It\^o integrals, stochastic differential equations, diffusions. ----- Notes d'un cours de Master 2 en math\'ematiques, donn\'e \`a l'Universit\'e d'Orl\'eans. Avec exercices corrig\'es. Contenu: Martingales \`a temps discret, temps d'arr\^et, th\'eor\`emes de convergence. Mouvement Brownien, int\'egrale d'It\^o, \'equations diff\'erentielles stochastiques, diffusions.
Cite
@article{arxiv.1312.7799,
title = {Martingales et calcul stochastique},
author = {Nils Berglund},
journal= {arXiv preprint arXiv:1312.7799},
year = {2013}
}
Comments
125 pages, in French