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MATH 6605 3.00AF (Fall 2017)
Announcements and documents will be posted here as they
- Assignment 1 is posted on the Assignments page (linked to below)
- The course meets MWF 10:30-11:20 in Vari Hall 3000
- Office hours are Wednesdays 1:30-2:30
- Course reference (optional): A first look at rigorous probability
by Jeff Rosenthal; 2nd edition, World Scientific. This book is optional -
ie you can follow the course purely using notes from class. There are copies
in the bookstore.
I will keep announce what is coming up, so you can read ahead if you wish.
And my approach to this material is quite close to Rosenthal's.
Documents and links
We have covered the following topics. I don't assume you've done measure
theory, but we will still need to use some results from measure theory.
Our approach will be to state results carefully, and give examples from
but not to re-prove results that are major topics in a measure theory course.
This means the initial material will go by quite fast.
Rosenthal's book gives the measure theory proofs,
and section references refer to
Topics still to be covered are:
- Basic measure theory, probability models (Chapters 1-2)
- Random variables and measurable functions (Sections 3.1, 3.3)
- Means and expectations for general random variables (Chapter 4)
- Independence (Section 3.2)
- Weak law of large numbers (Sections 5.1 and 5.3)
- Modes of convergence (Section 5.2)
- Borel Cantelli lemma (Section 3.4)
- Strong law of large numbers (Section 5.3)
- Truncation (Section 5.4)
- Convergence of random series
- Kolmogorov zero-one law (Section 3.5)
- Weak convergence (Sections 10.1 and 10.2)
- Introduction to moment generating functions (Section 9.3)
- Characteristic functions, continuity theorem (Section 11.1)
- Central Limit Theorem (Section 11.2)
- Stable laws (survey only)
- Infinitely divisible laws (survey of the general case; you will be
responsible only for the compound Poisson case)
- Tightness and the full version of the continuity theorem (survey only)
- Conditional expectations and martingales (Chapters 13 and 14).
The only book on reserve is
Rosenthal's A first look at rigorous probability theory, in
The following are not on reserve, but could also be useful:
- A more comprehensive modern text is Durrett's
Probability: Theory and Examples.
A course in probability theory used to be the standard text for
courses like this.
- Lamperti's Probability is a short and
conversational book, in much the same spirit as Rosenthal.
- Breiman's Probability is a readable but comprehensive treatment,
in the same spirit as Durrett.
- There are parts of the theory that
still are best learned from an even older and more encyclopaedic text,
namely Feller's An introduction to probability theory and its
applications, both volume 1 and volume 2.