Theory of Probability Including Measure Theory : Math 8651

Fall 2015

Welcome to the course webpage!

Course Instructor: Arnab Sen
Office: 238 Vincent Hall

Class time: MWF 10:10 am -11:00 am
Location: Vincent Hall 1
Office hours: M 2-3pm, W 11-12pm or by appointment.

Course Description: This is the first half of a yearly sequence of graduate probability theory at the measure-theoretic level. There will be an emphasis on rigorous proofs.
In this course, we aim to cover the following main topics:

Prerequisite: Upper division analysis: Math 5616 (or equivalent) - the students should be familier with concepts such as uniform convergence, continuity, sequences and series of numbers and functions, Riemann integral and the topology (open, closed, compact sets, etc.) of the real line. No background in measure theory will be assumed. Some familiarity with basic undergrad probability will be helpful.

Textbook (for both 8651 and 8652): Probability: Theory and Examples by Rick Durrett, Cambridge Series in Statistical and Probabilistic Mathematics, 4th Edition. Also available online.

Other recommended books:
1. Probability and Measure (3rd Edition) by Patrick Billingsley.
2. A Modern Approach to Probability theory by Bert Fristedt and Lawrence Gray.
3. Probability with Martingales by David Williams.

Homework: There will be biweekly homework assignments (around 7 in total). The lowest score will be dropped in calculating the final score.

Final Exam: 1:30-3:30pm, Wednesday, December 23.

Grading: Homework 60%, Final 40%.


Final Exam (1:30 p.m.-3:30 p.m., 1:30-3:30pm, Wednesday, December 23 in class). You are allowed to bring one sheet of A4 paper (both sides) with notes written by yourself.

Weekly schedule

Sep 9, 11: Sigma-field, measure, Lebesgue measure, Dynkin's π-λ theorem, Carathéodory's Extension Theorem.
Sep 14, 16, 18: Construction of Lebesgue measure, random variables. Distributions.
Sep 21, 23, 25: CDF, Lebesgue integration, MCT, change of variable formula
Sep 28, 30, Oct 2: DCT, inequalities, product measures, Fubini.
Oct 5, 7, 9: independence, sum of independent random variables, weak law of large numbers
Oct 12, 14, 16: Weierstrass approximation, coupon collector, Borel-Cantelli Lemmas and its applications, almost sure convergence
Oct 19, 21, 23: Strong law of large numbers, Renewal theorem, Glivenko-Cantelli Theorem, Kolmogorov's 0-1 law
Oct 26, 28, 30:Kolmogorov's maximal inequality, convergence of random series, Kolmogorov's three series theorem
Nov 2, 4, 6: CLT, proof of CLT using Lindeberg's replacement lemma, Lindeberg-Feller CLT, weak convergence and its properties
Nov 9, 11, 13: Helly's seclection theorem, tightness, characteristic function and its properties, inversion formula
Nov 16, 18, 20: Continuity theorem for characteristic funcions, proof of CLT using characteristic funcion, weak convergence in R^d, multivariate CLT
Nov 23, 25: Hoeffding's inequality, conditional expectation
Nov 30, Dec 2, 4: Properties of conditional expectation, Radon-Nikodym theorem
Dec 7, 9, 11: proof of Radon-Nikodym theorem, regular conditional distribution
Dec 14, 16: some examples on probablistic methods, first and second moment method.