Lecture

Subsequences: bounded sequences and Bolzano-Weierstrass theorem

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In course

MATH-431: Theory of stochastic calculus

Introduction to the mathematical theory of stochastic calculus: construction of the Ito stochastic integral, proof of the Ito formula, introduction to stochastic differential equations, Girsanov's theorem and the Feynman-Kac formula, the martingale represe ...

Description

This lecture covers the concept of bounded sequences, defining a sequence as bounded if there exists a finite M such that the norm of each element is less than or equal to M. It introduces subsequences as functions of the form fog, where g is strictly increasing. The Bolzano-Weierstrass theorem is presented, stating that a bounded sequence has a convergent subsequence.

Instructors (2)

Robert Dalang

Robert Dalang, né en 1961, a reçu le diplôme de Mathématicien-EPFL en 1983 et est lauréat du Prix Dommer. Il passe l'année 1985-86 à Cornell University (USA) comme chercheur invité. Il obtient le doctorat au Département de mathématiques de l'EPFL en 1987. Son domaine de spécialisation est la théorie des processeurs stochastiques. En 1987, Robert Dalang est nommé professeur assistant au Département de statistiques de l'Université de Californie à Berkeley (USA). En 1988, il reçoit une bourse post-doctorale du Fonds national scientifique américain et effectue des recherches sur les propriétés markoviennes de processus stochastiques à plusieurs paramètres. En 1990, il est nommé à Tufts University (Boston, USA). Il est promu professeur associé en mai 1993. Une partie importante de ses recherches se font dans le cadre de contrats avec le Fonds national scientifique américain et l'Office de la recherche de l'armée américaine. En collaboration avec le Prof. R. Cairoli du Département de mathématiques de l'EPFL, il a écrit un livre sur l'optimisation stochastique séquentielle publié en 1996 aux éditions John Wiley. M. Dalang est nommé professeur extraordinaire de probabilités au Département de mathématiques en 1995. Il y poursuit des travaux de recherche en processus stochastiques et probabilité appliquée et participe à l'enseignement des processus stochastiques, de la théorie des probabilités et des cours de mathématiques aux sections d'ingénieurs. Il dirige régulièrement des thèses de doctorats, est éditeur de plusieurs journaux de recherche mathématique et travail en collaboration avec des chercheurs de plusieurs universités européennes et américaines.

Thomas Mountford

Teaching & PhD Past EPFL PhD Students Damien Gauthier, Samir Brahim Belhaouari, Driss Baraka, Daniel Rodrigues Valesin, Samuel Schöpfer, Kamran Kalbasi, Jacques Saliba, Hao Xue, Keming Chen Past EPFL PhD Students as codirector Guillaume Charles Woessner Courses Analysis I MATH-101(d) Study the fundamental concepts of analysis, and the differential and integral calculus of real-valued functions of one real variable. Markov chains MATH-332 The course follows the text of Norris

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Topology: General topology

Related concepts (26)

Subsequence

In mathematics, a subsequence of a given sequence is a sequence that can be derived from the given sequence by deleting some or no elements without changing the order of the remaining elements. For example, the sequence is a subsequence of obtained after removal of elements and The relation of one sequence being the subsequence of another is a preorder. Subsequences can contain consecutive elements which were not consecutive in the original sequence.

Bounded function

In mathematics, a function f defined on some set X with real or complex values is called bounded if the set of its values is bounded. In other words, there exists a real number M such that for all x in X. A function that is not bounded is said to be unbounded. If f is real-valued and f(x) ≤ A for all x in X, then the function is said to be bounded (from) above by A. If f(x) ≥ B for all x in X, then the function is said to be bounded (from) below by B. A real-valued function is bounded if and only if it is bounded from above and below.

Sequence

In mathematics, a sequence is an enumerated collection of objects in which repetitions are allowed and order matters. Like a set, it contains members (also called elements, or terms). The number of elements (possibly infinite) is called the length of the sequence. Unlike a set, the same elements can appear multiple times at different positions in a sequence, and unlike a set, the order does matter. Formally, a sequence can be defined as a function from natural numbers (the positions of elements in the sequence) to the elements at each position.

Karl Weierstrass

Karl Theodor Wilhelm Weierstrass (Weierstraß ˈvaɪɐʃtʁaːs; 31 October 1815 – 19 February 1897) was a German mathematician often cited as the "father of modern analysis". Despite leaving university without a degree, he studied mathematics and trained as a school teacher, eventually teaching mathematics, physics, botany and gymnastics. He later received an honorary doctorate and became professor of mathematics in Berlin.

Extreme value theorem

In calculus, the extreme value theorem states that if a real-valued function is continuous on the closed interval , then must attain a maximum and a minimum, each at least once. That is, there exist numbers and in such that: The extreme value theorem is more specific than the related boundedness theorem, which states merely that a continuous function on the closed interval is bounded on that interval; that is, there exist real numbers and such that: This does not say that and are necessarily the maximum and minimum values of on the interval which is what the extreme value theorem stipulates must also be the case.

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