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401-3601-00L  Probability Theory

SemesterHerbstsemester 2018
DozierendeA.‑S. Sznitman
Periodizitätjährlich wiederkehrende Veranstaltung
LehrspracheEnglisch
KommentarHöchstens eines der drei Bachelor-Kernfächer
401-3461-00L Funktionalanalysis I / Functional Analysis I
401-3531-00L Differentialgeometrie I / Differential Geometry I
401-3601-00L Wahrscheinlichkeitstheorie / Probability Theory
ist im Master-Studiengang Mathematik anrechenbar.


KurzbeschreibungBasics of probability theory and the theory of stochastic processes in discrete time
LernzielThis 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.
InhaltThis 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.
Skriptavailable, will be sold in the course
LiteraturR. 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