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Math Colloquium
Philip Protter
Columbia University
Title: Martingales and Local Martingales

Abstract: We will explain (in a way accessible to the general mathematician) what a martingale is, and briefly discuss its importance to modern Probability Theory. We will then continue to a discussion of its extension to local martingales, and why these are also important in many areas, even though it is traditionally difficult to distinguish between a martingale and a local martingale in practice, until recently. We will emphasize the important of local martingales in Mathematical Finance, and show how one can construct examples of local martingales with jumps essentially at will.

Document File: CMU_Talk_Sept_27_2013.pdf
Date: Friday, September 27, 2013
Time: 4:30 pm
Location: Wean 8220
Submitted by:  Larsen