401-3601-00L  Probability Theory

SemesterAutumn Semester 2017
LecturersA.‑S. Sznitman
Periodicityyearly recurring course
Language of instructionEnglish
CommentAt most one of the three course units (Bachelor Core Courses)
401-3461-00L Functional Analysis I
401-3531-00L Differential Geometry I
401-3601-00L Probability Theory
can be recognised for the Master's degree in Mathematics or Applied Mathematics.


AbstractBasics of probability theory and the theory of stochastic processes in discrete time
ObjectiveThis course presents the basics of probability theory and the theory of stochastic processes in discrete time. The following topics are planned:
Basics in measure theory, random series, law of large numbers, weak convergence, characteristic functions, central limit theorem, conditional expectation, martingales, convergence theorems for martingales, Galton Watson chain, transition probability, Theorem of Ionescu Tulcea, Markov chains.
ContentThis course presents the basics of probability theory and the theory of stochastic processes in discrete time. The following topics are planned:
Basics in measure theory, random series, law of large numbers, weak convergence, characteristic functions, central limit theorem, conditional expectation, martingales, convergence theorems for martingales, Galton Watson chain, transition probability, Theorem of Ionescu Tulcea, Markov chains.
Lecture notesavailable, will be sold in the course
LiteratureR. Durrett, Probability: Theory and examples, Duxbury Press 1996
H. Bauer, Probability Theory, de Gruyter 1996
J. Jacod and P. Protter, Probability essentials, Springer 2004
A. Klenke, Wahrscheinlichkeitstheorie, Springer 2006
D. Williams, Probability with martingales, Cambridge University Press 1991