A. Teplyaev
Math 322 Fall 2003

TTH 9.30-10.45 MSB 118

Link to HW assignments

    office: MSB M222
    office hours:   TTH 10:45-12:15
    email:  teplyaevmath.uconn.edu


S.R.S. Varadhan
Probability theory
Courant Lecture Notes in Mathematics, 7. AMS 2001.

Course Outline

This course is the first part of the one year graduate course in probability theory. The course requires a basic understanding of measure theory, but a short overview will be given in the first few lectures. An extra tutorial can be given if needed. The course will include: characteristic functions; convergence of random variables and probability measures; sums of independent random variables, including laws of large numbers, central limit theorems, convergence of series, distribution and moment inequalities, and possibly also large deviations and/or law of the iterated logarithm; conditional expectations and martingale theory, and other topics. Construction of the Brownian motion, continuous time martingales and stochastic integration will be included in Math 323, Spring 2004.