Martingales & Concentration: Theory and Applications
Math 581F, Fall 2012
Email: eyal [at] math [dot] washington [dot] edu
Office hours: by appointment
Meeting Times and Locations
Wed,Fri 2:30-3:45 at LOW 116.
The applications of probability to many areas in Mathematics and in other fields have multiplied dramatically in recent years. Rich interactions with classical analysis have been found in the study of random fractals; researchers in Combinatorics, Theoretical CS, high-dimensional geometry (and, of course, Statistics) increasingly need sophisticated probabilistic tools. The aim of this course is to provide such tools, with main focus on martingales and their applications. These will include: concentration inequalities, optional stopping, L2 martingales, maximal inequalities and much more.
Probability with Martingales by David Williams, Cambridge University Press, Cambridge, 1991.
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Last modified: 6/26/2012