Office: 4-112 Mathematics Building
Dept. Phone: (631)-632-8290
Time and place: MWF 9:35-10:30, ESS 177
We will follow the text `Probability' by Davar Khoshnevisan (AMS Graduate Studies in Math vol 80). ISBN 0-8218-4215-3
We will attempt to cover the whole book (about 200 pages). The first two chapters cover discrete probabilities and the Chapters 3,4,5 cover aspects of measure theory and integration that overlap with the first year analysis course, so I hope to just review these. The remaining five chapters I will try to cover more carefully: Independence (Chap 6), the Central limit theorem (Chap 7), Martingales (Chap 8), Brownian motion (Chap 9) and Stochastic integration (Chap 10).
Grades will be based on problem sets and possibly on class presentations by the students.