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Class: Most of Sections 1.1, 1.2, 1.3
Homework : Read before September 12 the sections that I have treated in the classroom, but also those pieces that I skipped. In particular pay attention to the Lebesgue integrals following Definition 1.3.7 and observe the similarities and differences with expectations. Take notice of (the gist of what is written in) Sections A.1 and A.2. |
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Tutorial: Exercise 1.5 and one or two exercises from the additional exercises
Class: Most of Sections 1.4, 1.5, 1.6 and Appendix B, Definitions 2.1.3, 2.1.5. Homework: Read the Sections that have been treated on September 12, also the parts and examples that have been skipped. Read also pages 49, 50 before the next class. Make Exercises 1.1, 1.2, 1.3 of Section 1.9. |
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Tutorial: 1.8, 1.15, additional Exercises 5, 7 (if there is enough time, otherwise drop one exercise)
Homework: 1.9, 1.10, 1.11, additional Exercise 8. Class: Most of Sections 2.2, 2.3 (Definitions 2.3.5 and 2.3.6 will be treated next week). |
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Homework: Make Exercises 2.1, 2.6, 2.7, 2.9 and read the Summary Sections 1.7 and 2.4. Also read the examples in Shreve, and pay special attention to the first three pages of Section 2.3, but ignore Equations (2.3.1) - (2.3.3) and the surrounding text.
Tutorial: Exercises 2.2, 2.10 and 2.4 if there is time left. Class: Sections Sections 3.2 - 3.4 |
5 |
Homework: Make Exercise 3.2, 3.5 and compute quadratic variation of W(t)+at over [0,T]; read Section 3.5 and the relevant part of Section 3.8
Tutorial: Exercises 3.1, 3.4, 3.6 Class: Sections 4.2, 4.3 |
6 |
Homework: Exercises 4.2, 4.3
Tutorial: Exercises 4.1, 4.4 Class: Sections 4.4, 4.6 (of 4.6.3 the one-dimensional case only) |
7 |
Homework: Carefully read Sections 4.4, 4.6. Make Exercises 4.7, 4.8
Tutorial: Exercises 4.9, 4.14 Class: Sections 5.2, 5.3 Tutorial: Exercises 5.1, 5.8 Homework: Read Section 5.4.1, make Exercise 5.5, and Exercise 8.3(a,b,c) from the lecture notes of another course in which you have to find the process Γ of Theorem 5.3.1 for the martingales in the exercise. Don't get confused by the notation X • W. It means stochastic integral, not a product and the X in the exercise is what Shreve calls Γ. |