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Instructors: Prof. Dr. rer. nat. Volker Martin Betz; Stefan Walter
Event type:
Lecture & Exercise
Org-unit: Dept. 04 - Mathematics
Displayed in timetable as:
Probability Theory
Subject:
Crediting for:
Hours per week:
6
Language of instruction:
Englisch
Min. | Max. participants:
- | -
Course Contents:
Reminder: measure theoretic background, integration, random variables, modes of convergence.
Martingale theory: conditional expectation, martingales, martingale convergence theorem, optional stopping theorem,
L^2-martingales, uniformly integrable martingales, Kolmogorov's three series theorem, strong law of large numbers.
Integral transforms: moment generating functions, Laplace- and Fourier transforms, characteristic functions, central limit
theorem.
Markov chains: statonary distribution, recurrence and transience, more material subject to remaining time.
Online Offerings:
moodle
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