Number of hours
- Lectures 18.0
ECTS
ECTS 1.87
Goal(s)
Stochastic approximation applied to finance
Contact Jérôme LELONGContent(s)
This course starts with the study of some theoretical results for the convergence of martingales (strong law of large numbers for martingales). Then, these results are used to present the concepts of stochastic approximation and some related convergence results. Finally, this course ends with the presentation of adaptive Monte Carlo methods based on stochastic approximation.
Prerequisites
Test
N1=(E1 + P1) / 2
N2=(E2 + P1) / 2