A martingale is a stochastic process which remains constant on average in the future. Martingales are widely used in probability theory and stochastic calculus, as well as in various applied areas, for example in mathematical finance. The goal of this course is to give an introduction to the theory of martingales and their applications related to integration with respect to stochastic processes.

Financial support. The course is supported by the Ministry of Science and Higher Education of the Russian Federation (the grant to the Steklov International Mathematical Center, Agreement no. 075-15-2022-265).

Lecturer
Zhitlukhin Mikhail Valentinovich

Organizations
Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
Steklov International Mathematical Center