P R O B A B I L I T Y,    F A L L  2 0 1 4

Lectures: Wednesday, 5.10pm-7pm, in Warren Weaver Hall 101.

Lecturer: Paul Bourgade, office hours Thursday 10.30-12pm, you also can email me (bourgade@cims.nyu.edu) to set up an appointment or just drop by (Warren Weaver Hall 603).

Course assistant: Insuk Seo (insuk@cims.nyu.edu).

Course description: The course introduces the basic concepts and methods of probability. Topics 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 including Brownian motion.

Prerequisites: The course will build on infinite series, multivariable calculus, basics about linear algebra, and along the way we will introduce the required notions about set theory and elementary measure theory.

Textbooks: Our reference text will be Probability Essentials, by Jacod-Protter.

Homework: Every Wednesday for the next Wednesday.

Grading: problem sets (40%), midterm (30%) and a final project (30%).

A tentative schedule for this course is:

Problem sets.