Probability Theory 2: Syllabus

Samy Tindel

Purdue University

Probability Theory 2 - MA 539

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Outline

1 Presentations

2 Ground rules

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Outline

1 Presentations

2 Ground rules

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Nancy 104/09/13 05:45Nancy, France - Google Maps

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Address Nancy

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My Purdue information

Office: 434, Math building

Email: stindel@purdue.edu

Office hours: Th 2:30-4:00pm

Webpage: https://www.math.purdue.edu/∼stindel/

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Advertising probability theoryProbability Theory:

Interesting from a mathematical point of viewI Martingales, Ergodicity, Brownian motionI Differentials for non differentiable processesI Links to partial differential equationsI Analysis on infinite dimensional Gaussian spaces

Crucial for modeling randomnessI FinanceI Theoretical and applied physics

Great names related to the field:Kolmogorov, Wiener, Itô, Levy, Doob

Recent Fields medallists:Werner, Villani, Hairer

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Brief outline of the courseChapters covered:

1 Gaussian vectors and central limit theorem.2 Conditional expectation.3 Martingales.4 Ergodic theorems.5 Brownian motion.6 Itô’s formula.

Bibliography:1 R. Durrett: Probability: Theory and Examples.2 I. Karatzas, S. Shreve: Brownian motion and stochastic calculus.3 R. Durrett: Stochastic calculus. A practical introduction.

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Outline

1 Presentations

2 Ground rules

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Webpage

Course webpage:

https://www.math.purdue.edu/∼stindel/teaching/ma539/ma539.html

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Evaluation

Homework:Hand-graded, every week, due on Tuesday

Oral participation:Assignment (in advance) of problems to be solved on the board

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Grades

Total score calculation:Homework 600ptsOral participation bonus 60 pts

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Attendance, honesty

Attendance:Class attendance is expected.Reading textbooks ahead of time is strongly recommended.

Purdue Honors Pledge:As a boilermaker pursuing academic excellence, I pledge to be honestand true in all that I do. Accountable together - we are Purdue

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Other topics

Accommodations for students with disabilities:Be certified by the Disability Resource Center (DRC) as eligiblefor academic adjustments on exams or quizzes.Contact me.

Campus Emergency Notice: seewww.math.purdue.edu/MA266 (Click here)

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