Academic Year:
| 2012/3 |
Owning Department/School:
| Department of Mathematical Sciences |
Credits:
| 6 |
Level:
| Masters UG & PG (FHEQ level 7) |
Period: |
Semester 2
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Assessment:
| EX 100% |
Supplementary Assessment: | Like-for-like reassessment (where allowed by programme regulations) |
Requisites:
| Before taking this unit you must take MA40042 or you must take MA30089 and have consulted the unit lecturer. |
Description:
| Aims: To stimulate through theory and especially examples, an interest and appreciation of the power and elegance of martingales in analysis and probability. To demonstrate the application of martingales in a variety of contexts, including their use in proving some classical results of probability theory.
Learning Outcomes: On completing the course, students should be able to:
* demonstrate a good knowledge and understanding of the main results and techniques of discrete time martingale theory;
* apply martingales in proving some important results from classical probability theory;
* recognise and apply martingales in solving a variety of more elementary problems.
Skills: Numeracy T/F A
Problem Solving T/F A
Written and Spoken Communication F (in tutorials).
Content: Review of measure theory; fundamental concepts and results. Conditional expectation. Filtrations. Martingales. Stopping times. Optional-Stopping Theorem. Martingale Convergence Theorem. L2 -bounded martingales. Doob decomposition. Angle-brackets process. Lévy's extension of the Borel-Cantelli lemmas. Uniform integrability. UI martingales. Lévy's 'Upward' and 'Downward' Theorems. Kolmogorov 0-1 law. Martingale proof of the Strong Law. Doob�s Submartingale Inequality. Law of iterated logarithm. Doob's Lp inequality. Likelihood ratio. Kakutani's theorem. Other applications.
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Programme availability:
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MA40058 is Optional on the following programmes:
Department of Mathematical Sciences
- USMA-AFB15 : BSc (hons) Mathematical Sciences (Full-time) - Year 3
- USMA-AKB16 : BSc (hons) Mathematical Sciences (Full-time with Thick Sandwich Placement) - Year 4
- USMA-AAB16 : BSc (hons) Mathematical Sciences with Study Year Abroad (Full-time with Study Year Abroad) - Year 4
- USMA-AFB13 : BSc (hons) Mathematics (Full-time) - Year 3
- USMA-AKB14 : BSc (hons) Mathematics (Full-time with Thick Sandwich Placement) - Year 4
- USMA-AFB01 : BSc (hons) Mathematics and Statistics (Full-time) - Year 3
- USMA-AKB02 : BSc (hons) Mathematics and Statistics (Full-time with Thick Sandwich Placement) - Year 4
- USMA-AAB02 : BSc (hons) Mathematics and Statistics with Study Year Abroad (Full-time with Study Year Abroad) - Year 4
- USMA-AAB14 : BSc (hons) Mathematics with Study Year Abroad (Full-time with Study Year Abroad) - Year 4
- USMA-AFB05 : BSc (hons) Statistics (Full-time) - Year 3
- USMA-AKB06 : BSc (hons) Statistics (Full-time with Thick Sandwich Placement) - Year 4
- USMA-AAB06 : BSc (hons) Statistics with Study Year Abroad (Full-time with Study Year Abroad) - Year 4
- USMA-AFM14 : MMath Mathematics (Full-time) - Year 3
- USMA-AFM14 : MMath Mathematics (Full-time) - Year 4
- USMA-AAM15 : MMath Mathematics with Study Year Abroad (Full-time with Study Year Abroad) - Year 4
- TSMA-AFM09 : MSc Mathematical Sciences (Full-time) - Year 1
- TSMA-APM09 : MSc Mathematical Sciences (Part-time) - Year 1
- TSMA-APM09 : MSc Mathematical Sciences (Part-time) - Year 2
- TSMA-AFM08 : MSc Modern Applications of Mathematics (Full-time) - Year 1
- TSMA-AFL02 : PG Dip Modern Applications of Mathematics (Full-time) - Year 1
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