Course

MATH-330: Martingales and Brownian motion

Summary

Introduction to the theory of discrete-time martingales (optional stopping and convergence theorems) and its applications (gambler's ruin, branching processes, Pólya urns...). Introduction to Brownian motion.

Lectures

Instructor

Guillaume Marie Blanc

Teaching & PhD Courses Martingales and Brownian motion MATH-330 Introduction to the theory of discrete-time martingales (optional stopping and convergence theorems) and its applications (gambler's ruin, branching processes, Pólya urns...). Introduction to Brownian motion.

Official source

https://edu.epfl.ch/coursebook/en/martingales-and-brownian-motion-MATH-330

Moodle Page

http://go.epfl.ch/MATH-330

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