Midterm test: information

Dr. Pablo Olivares

November 23, 2016

Dr. Pablo Olivares

Midterm test: information

Final exam: content, approx. marking breakdown

Chapter 1, no.

Chapter 2, sections 2.1- 2.6: (60 %)

Chapter 3, sections 3.1, 3.2, 3.3: ( 30%)

Chapter 4, sections 4.3, 4.4: (10 %)

(Section numbering from Lecture Notes)

Dr. Pablo Olivares

Midterm test: information

Date and place

Date: Dec 13th, 3:00-6:00 pm

Location: EPH105

Dr. Pablo Olivares

Midterm test: information

Chapter 2: contents

Section 2.1: complete

Section 2.2: complete.

Section 2.3: complete.

Section 2.4: complete, inequalities, MCT and DCT theorems

without proofs.

Sections 2.5, 2.6: complete.

Section 2.7: no.

Dr. Pablo Olivares

Midterm test: information

Chapter 3: contents

Section 3.1 : no conditional inequalities (theorem 3.21), no

conditional DCT and MCT theorems.

Section 3.2 : no 3.2.1.

Section 3.3 : no definitions 3.72 and 3.73.

Dr. Pablo Olivares

Midterm test: information

Chapter 4: contents

Section 4.1 : no

Section 4.2 : no

Section 4.3 : no simulation, no bounded variation definitions

and results.

Section 4.4: complete

Section 4.5: no

Dr. Pablo Olivares

Midterm test: information

Recommended problems

Chapter 2: Sect. 2.1-2.3: 1-4, 6-11

Chapter 2: Sect. 2.4: 14-18, 21-25, 27

Chapter 2: Sect. 2.5: 28-36

Chapter 2: Sect. 2.6: 40-51

Chapter 3: 1-17.

Chapter 4:22,23,27,29

Dr. Pablo Olivares

Midterm test: information

Course Expectations/Assessment tool. Theoretical aspects

1. Measurable space, -algebra, properties.

2. Measure and probability, properties.
3. Measurable functions and Lebesgue integral, properties.
4. Random variables and expected values, properties.
5. Moments and g.m.f.

Dr. Pablo Olivares

Midterm test: information

Course Expectations/Assessment tool. Theoretical aspects

(6) Modes of convergence: a.s., in probability, in Lp , weak

convergence.
(7) Convergence theorems: MCT, DCT, Relation btw
convergence modes, LNN, CLT (no proofs)
(8) Characteristic function, properties.
(9) Conditional expected value with respect to a -algebra, and a
random variable, properties.

Dr. Pablo Olivares

Midterm test: information

Course Expectations/Assessment tool. Theoretical aspects

10) Independence of -algebras and random variables.

11) Concepts of filtration, adaptability and predictability in d-time
and c-time
12) Concepts of martingale, submartingale, supermartingale in
discrete and continuous time, properties.
13) Brownian motion and Poisson process as martingales.
14) Quadratic variation of a Brownian motion.

Dr. Pablo Olivares

Midterm test: information

Course Expectations/Assessment tool. Theoretical aspects

(15) The concept of SDE.

(16) The Ito integral and its properties.
(17) Ito formula.

Dr. Pablo Olivares

Midterm test: information

What you should bring?

(a) Formula sheet (two-pages, double-side hand written or typed).

No examples allowed.
(b) Your student ID.

Dr. Pablo Olivares

Midterm test: information