STOCHASTIC PROCESSES - Prof. A. Tancredi

 

 

Schedule:

The course will start Monday 27 September

Monday 11:13, Master room:  Zoom link

Tuesday 11:13  Room 6b: Zoom link

Wednesday 9:11 Master room:  Zoom link


Summer session exam dates: 20-6-2022 18-7-2022

The exam is written and oral. The oral examination will be approximately one week after the written exam


Textbook: Probability. An introduction. Second Edition. G. Grimmet, D. Welsh. (2014) Oxford University Press

The textbook is in the  Sapienza ebooks reading list


Outline of the course

  1. Events and probability
  2. Discrete random variable
  3. Multivariate discrete distributions and independence
  4. Probability generating functions
  5. Distribution functions and density functions
  6. Multivariate distributions and independence
  7. Moments and moment generating functions
  8. The main limit theorems
  9. Random walks
  10. Markov chains

 

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