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MA40058: Probability with martingales

[Page last updated: 23 October 2023]

Academic Year: 2023/24
Owning Department/School: Department of Mathematical Sciences
Credits: 6 [equivalent to 12 CATS credits]
Notional Study Hours: 120
Level: Masters UG & PG (FHEQ level 7)
Period:
Semester 2
Assessment Summary: EX 100%
Assessment Detail:
  • Examination (EX 100%)
Supplementary Assessment:
Like-for-like reassessment (where allowed by programme regulations)
Requisites: Before taking this module you must take MA40042 or you must take MA30089 and have consulted the unit lecturer.
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.


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.

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

Course availability:

MA40058 is Optional on the following courses:

Department of Economics
  • UHES-AFB04 : BSc(Hons) Economics and Mathematics (Year 3)
  • UHES-AAB04 : BSc(Hons) Economics and Mathematics with Study year abroad (Year 4)
  • UHES-AKB04 : BSc(Hons) Economics and Mathematics with Year long work placement (Year 4)
  • UHES-ACB04 : BSc(Hons) Economics and Mathematics with Combined Placement and Study Abroad (Year 4)
Department of Mathematical Sciences
  • RSMA-AFM16 : Integrated PhD Statistical Applied Mathematics
  • TSMA-AFM17 : MRes Statistical Applied Mathematics
  • TSMA-AFM16 : MSc Statistical Applied Mathematics
  • USMA-AFB15 : BSc(Hons) Mathematical Sciences (Year 3)
  • USMA-AAB16 : BSc(Hons) Mathematical Sciences with Study year abroad (Year 4)
  • USMA-AKB16 : BSc(Hons) Mathematical Sciences with Year long work placement (Year 4)
  • USMA-AFB13 : BSc(Hons) Mathematics (Year 3)
  • USMA-AAB14 : BSc(Hons) Mathematics with Study year abroad (Year 4)
  • USMA-AKB14 : BSc(Hons) Mathematics with Year long work placement (Year 4)
  • USMA-AFB01 : BSc(Hons) Mathematics and Statistics (Year 3)
  • USMA-AAB02 : BSc(Hons) Mathematics and Statistics with Study year abroad (Year 4)
  • USMA-AKB02 : BSc(Hons) Mathematics and Statistics with Year long work placement (Year 4)
  • USMA-AAB06 : BSc(Hons) Statistics with Study year abroad (Year 4)
  • USMA-AKB06 : BSc(Hons) Statistics with Year long work placement (Year 4)
  • USMA-AFM14 : MMath(Hons) Mathematics (Year 3)
  • USMA-AFM14 : MMath(Hons) Mathematics (Year 4)
  • USMA-AAM15 : MMath(Hons) Mathematics with Study year abroad (Year 4)
  • USMA-AKM15 : MMath(Hons) Mathematics with Year long work placement (Year 4)
  • USMA-AKM15 : MMath(Hons) Mathematics with Year long work placement (Year 5)

Notes:

  • This unit catalogue is applicable for the 2023/24 academic year only. Students continuing their studies into 2024/25 and beyond should not assume that this unit will be available in future years in the format displayed here for 2023/24.
  • Courses and units are subject to change in accordance with normal University procedures.
  • Availability of units will be subject to constraints such as staff availability, minimum and maximum group sizes, and timetabling factors as well as a student's ability to meet any pre-requisite rules.
  • Find out more about these and other important University terms and conditions here.