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Measure Theoretic Probability
| Credits |
8 credit points |
| Instructors |
Spreij, P.J.C. (Universiteit van Amsterdam) |
| E-mail |
spreij@science.uva.nl |
| Description |
During the course the measure theoretic foundations of probability theory will be treated. Key words for the course are: random variables, distributions of random variables, different convergence concepts for random variables (convergence in probability, weak convergence, convergence in p-th mean) and relations between them, uniform integrability, conditional expectation and conditional distribution. All these topics will be present in the treatment of martingale theory in discrete time. Finally, the existence of Brownian motion is proved. |
| Examination |
Homework exercises and oral exam. |
| Literature |
D. Williams, Probability with martingales, Cambridge University Press (BUY IT!) and additional lecture notes. |
| Remarks |
Homepage of this course: http://staff.science.uva.nl/~spreij/onderwijs/master/mtp.html |
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