P R O B A B I L I T Y,    S p r i n g    2 0 2 0

Lectures: Wednesday, 7.10pm-9.00pm, in Warren Weaver Hall 202.

Lecturer: Paul Bourgade, office hours Thursday 1.30-2.30pm, you also can email me (bourgade@cims.nyu.edu) to set up an appointment or just drop by (WWH 603).

Course description: A rigorous introduction to probability theory, including: discrete and continuous random variables, distribution and density functions in arbitrary dimension, conditional probability, generating functions; weak and strong laws of large numbers, the central limit theorem, random walks, discrete martingales.

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 (35%), midterm (15%) and final (50%).

A tentative schedule for this course is:

Problem sets.