How information flows through the randomness of time
In this third-year lecture from Oxford Mathematics, Jan Obloj explores the mathematical architecture of uncertainty. Discover how filtrations and stopping times create the essential building blocks for understanding random clocks and martingales.
The lecture delves into the mechanics of stochastic processes, focusing on the concept of filtration—the formal way we represent the flow of information over time. By understanding how information accumulates, we can better grasp the behavior of martingales.
The session also introduces stopping times, which serve as the foundation for constructing random clocks. These mathematical tools are vital for analyzing processes where the timing of an event is itself a random variable.
Source: Probability, Measure & Martingales - Let there be time: filtrations & stopping times, 3rd Yr Lecture
