The theory of martingales in discrete time

MTH5220

Synopsis

Doob's convergence theorem. Optional sampling theorem. Discrete Stochastic integral. Martingale inequalities such as Doob and Burkholder-Davis-Gundy inequalities. Bucy-Kalman filter. Applications to finance. Option pricing - discrete Black-Scholes formula. Control theory.

Sourced from the Monash Handbook 2026.

Quick facts

Credit points: 6
Level: 5
Audience: Postgraduate
Type: Coursework
School: Faculty of Science
Faculty: School of Mathematics
Handbook year: 2026

Prerequisites (1)

Random processes in the sciences and engineeringMTH3241

What it unlocks

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Offerings (1)

First semesterClayton · ON-CAMPUS