Math 521/522/523
Advanced Probability
Krzysztof Burdzy
Autumn/Winter/Spring 2004-2005, Monday/Wednesday/Friday 11:30-12:20
Math 521/2/3 is a rigorous introduction to probability
theory at the graduate level. The goal of the course
is to review the measure theoretical foundations
of probability theory and the most important
probabilistic techniques and models. Math 521 will
start with the measure theory - I will adjust the amount
of time spent on measure theory according to the
background of students. Some of the topics covered
by the course are rigorous versions of theorems
informally introduced at the undergraduate level,
such as the Central Limit Theorem. I will also
discuss some important stochastic processes, such
as Markov chains and martingales. I will use Durrett's
Probability: Theory and Examples as the textbook.
I plan to cover most of this book, except for some
highly specialized topics. If time permits, I may
cover some extra topics at the end of the three
quarter sequence.
Prerequisite: MATH 426 or equivalent.
-- Chris Burdzy