Course Details
Random Variables and distributions: Random Variables and Vectors, Subfields, Distributions, Independence, Sequences of Random Variables, Convergence in Probability, The Glivenko-Cantelli Theorem. Expected Values: Expected Values and Distributions, Moments. Sums of independent random variables: Inequalities, Independence, Moment Generating Functions. Sums of independent random variables: Laws of Large Numbers, Kolmogorov’s Zero-One Law, Maximal Inequalities. The Poisson Process: Characterization of the Exponential Distribution,The Poisson Process, The Poisson Approximation, Stochastic Processes. Weak convergence: Convergence in Distribution,Convergence in Probability, Fundamental Theorems, Helly’s Theorem, Integration to the Limit. Characteristic functions: Definition, Moments and Derivatives, Independence, Inversion and the Uniqueness Theorem, The Continuity Theorem, The central limit theorem. Infinitely divisible distributions: Vague Convergence, The Possible Limits, Characterizing the Limit. Limit Theorems in Rk: The Basic Theorems, Characteristic Functions, Normal Distributions in Rk, The Central Limit Theorem. The Radon-Nikodym Theorem: Additive Set Functions, The Hahn Decomposition, Absolute Continuity and Singularity, The Main Theorem. Conditional Probability: The Discrete Case, The General Case, Properties of Conditional Probability, Conditional Probability Distributions. Conditional Expectation: Definition, Properties of Conditional Expectation, Conditional Distributions and Expectations. Martingales: Definition, Submartingales, Functions of Martingales, Stopping Times, Inequalities, Convergence Theorems. Kolmogorov’s Existence Theorem: Stochastic Processes, Finite-Dimensional Distributions, Product Spaces, Kolmogorov’s Existence Theorem, The Inadequacy of RT, The Hewitt-Savage Theorem. Brownian Motion: Definition, Continuity of Paths, Measurable Processes, Irregularity of Brownian Motion Paths, The Strong Markov Property, The Reflection Principle, Skorohod Embedding, Invariance.
Course References:
Text Books
1. Patrick Billingsley, Probability and Measure, 4th edition, Wiley, 2012.
Reference Books
1. John B Walsh, Knowing the Odds: An Introduction to Probability, American Mathematical Society, 2012.
2. Jean Jacod and Philip Protter, Probability Essentials, Springer, 2004.
3. Leo Breiman, Probability, SIAM, 1992.
4. Geoffrey Grimmett, and David Stirzaker, Probability and Random Processes, 3rd edition, Oxford University Press, 2001.
5. Geoffrey Grimmett, and David Stirzaker, One Thousand Exercises in Probability, Oxford University Press, 2001.
6. Leonid Koralov and Yakov G. Sinai, Theory of Probability and Random Processes, Springer, 2007.