Autumn/Winter/Spring 2001-2002, MWF 11:30-12:20
Brief Syllabus
for Math 521/2/3:
The official text for this course will probably be the 3rd edition, A Course in Probability Theory, K. L. Chung. (The following is somewhat conditional on the choice of text.)
Here is what I hope will be the course.
Autumn
Qtr.
Chapter 3 The classical material
Chapters 4, 5, 6, 7, with many omissions.
Winter Qtr.
We will continue the discussion of the classical material, perhaps including some alternative approaches to the Central Limit Theorem. In addition we begin the basics of conditioning, conditional expectation, martingales (discrete time), and
the Markov property, ergodic limit theorem. (The later is not in the text.) Chapters 6, 7, 8, 9.
Spring Qtr.
Continuation of the Winter Quarter discussion, Chapter 9. Plus: Brownian motion and other continuous time processes including, I hope, an introduction to stochastic integrals. This material is not in the official text so I will either hand out supplementary notes and/or will have another book on reserve or to purchase.