ST 546

Probability and Stochastic Processes I

Section: 001

Course Description

Mathematical foundations of probability theory. Probabilistic measure theory, random variables and their distributions, construction of expectation. Notions of convergence: almost sure, in probability, in L^p, weak convergence, vague convergence. Conditioning, independence, Borel-Cantelli lemmas, weak and strong laws of large numbers, characteristic functions, central limit theorem, and related concentration inequalities.