MATH 6720 - Probability Theory II

John Pike, spring 2015.

This is the second half of a year-long introduction to probability theory at the graduate level. We will pick up where MATH 6710 leaves off and basic knowledge of that material will be assumed. The topics that will be covered include martingales and Markov chains (primarily in discrete time), ergodic theorems, and Brownian motion. If time permits, we may discuss topics in stochastic calculus as well.

We will continue to use Rick Durrett's Probability: Theory and Examples (4th Edition) as our primary text.