Langue d'enseignement : anglais
This course is an advandced course in probability theory. We first treat in details the conditional expectation, domination of measures and probability density functions, conditional distributions, stochastic processes, stopping times and filtrations. These concepts are introduced using the fundamental theorems of Hilbert analysis such as the projection theorem and the representation theorem. With the necessary probabilistic tools at hand, we then introduce the major theorems of mathematical statistics. Finally, we conclude this course with an introduction to the theory of martingales, an essential tool in stochastic calculus.
This course is an advandced course in probability theory. We first treat in details the conditional expectation, domination of measures and probability density functions, conditional distributions, stochastic processes, stopping times and filtrations. These concepts are introduced using the fundamental theorems of Hilbert analysis such as the projection theorem and the representation theorem. With the necessary probabilistic tools at hand, we then introduce the major theorems of mathematical statistics. Finally, we conclude this course with an introduction to the theory of martingales, an essential tool in stochastic calculus.
- Enseignant: Yann Issartel
- Enseignant: Jan Kochanowski
- Enseignant responsable de l'UE: François Roueff