| Crédit : 8 ECTS |
| Langue du cours : anglais
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Volume horaire
- CM :
79 h
- Volume horaire global (hors stage) :
78 h
Compétences à acquérir
Discrete-time stochastic processes, including conditional expectation, martingales, and Markov chains and their long-term behavior.
Description du contenu de l'enseignement
- Conditional expectation: definition and construction, properties
- Processes: filtrations, stopping times, sigma-field of the past
- Martingales: definition, stopping theorems, convergence theorems, maximal inequalities
- Markov chains: definition, random inductions, properties, Markov properties, recurrence and transience, invariant measures, ergodic theory
Enseignant responsable
JULIEN CLAISSE