PT EN

Probability and Stochastic Processes

Program

1 Preliminaries
1.1 Probability spaces
1.2 Integration
1.3 Absolute continuity
1.4 Notions of convergence and Slutsky's theorem
2 Random variables and Stochastic processes
2.1 Distributions and Skhorokhod's representation
2.2 Kolmogorov's existence theorem
2.3 Independence
2.4 Borel-Cantelli Lemmas
2.5 Kolmogorv's 0-1 Law
2.4 Conditional expectation
3 Martingales
3.1 Definitions and properties
3.2 Stopping times and inequalities
3.3 (Sub)martingale convergence theorem
3.4 Central limit theorem
3.5* Application to mixing stationary processes (the Gordin approximation)
4 Brownian motion
4.1 Continuity of paths and their irregularity
4.2 Strong Markov property and reflection principle
4.3 Skorohod's Embedding
5 Weak convergence
5.1 Portmanteau theorem
5.2 Tightness and Prokhorov's theorem
5.3 Weak convergence in C[0,1]
5.4 Donsker's theorem and Invariance principle

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