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ESSENTIALS OF PROBABILTY
MATH-GA.2901-001 Description: An introduction to the mathematical treatment of random phenomena oc- curring in the natural, physical, and social sciences. Topics will include probability spaces, random variables, distributions, law of large numbers, central limit theorem, random walk, Markov chains and martingales in discrete time, and if time allows diffusion processes in- cluding Brownian motion. Prerequisites: Calculus through partial derivatives and multiple integrals; no previous knowledge of probability is required. Textbooks: We will closely follow Probability Essentials, by J. Jacod and P. Protter (Springer). The book is available to you digitally. Course requirements and grading: The course requirements are • Homework: There will be one assignment every week. Each assignment will count equally toward your grade (regardless of the max possible points). Taken together, the homework will be worth 40% of your grade. Late homework will be deducted 10% per day, unless a request for an extension has been granted. • Exams: The midterm exam will be worth 20% of your overall grade, and the final exam will be worth 40% of your overall grade. Some Policies Collaboration on homework: Students are welcome – and even encouraged – to dis- cuss the homework problems with others. However, each student must implement and present his or her own solutions (this is an important part of the learning pro- cess). Direct copying of another student’s solution is not permitted – both because it amounts to cheating, and because it defeats the entire purpose of the homework (which is to gain familiarity with new concepts and techniques). Academic integrity: Plagiarism and cheating will not be tolerated. NYU’s College of Arts and Sciences has policies in this area, and they will be followed. See http://cas.nyu.edu/academic-integrity.html 1 Tentative Topic List The class will follow closely the book Probability Essentials, by J. Jacod and P. Protter (Springer). Topics to be covered include : 1. Axioms of Probability 2. Conditional Probability and Independence 3. Probabilities on a Finite or Countable SpaceSpace 4. Random Variables on a Countable Space 5. Construction of a Probability Measure 6. Construction of a Probability Measure on R 7. Random Variables 8. Integration with Respect to a Probability Measure 9. Independent Random Variables 10. Probability Distributions on R 11. Probability Distributions on mathbbRn 12. Characteristic Functions 13. Properties of Characteristic Functions 14. Sums of Independent Random Variables 15. Gaussian Random Variables (The Normal and the Multivariate Normal Distributions) 16. Convergence of Random Variables 17. Weak Convergence 18. Weak Convergence and Characteristic Function 19. The Laws of Large Numbers 20. The Central Limit Theorem 21. L2 and Hilbert Spaces 22. Conditional Expectation 23. Martingale 24. Supermartingales and Submartingales 25. Martingale Inequalities 26. Martingale Convergence Theorems 27. The Radon-Nikodym Theorem 28. Markov chains