STOCHASTIC PROCESSES - Prof. A. Tancredi
Class hours: Monday 14:16, Tuesday 14:16 ,Thursday 16:18.
The course will start on Tuesday 27th September 2022.
Exam dates: 19-01-2023, 13-02-2023, 12-06-2023, 13-07-2023, 11-09-2023
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
Weekly Course Calendar
- Week 1: Events and probability.
- Week 2: Conditional probability. Independence. Discrete random variables.
- Week 3: Functions of discrete random variables. Expectations of discrete random variables.
- Week 4:Multivariate discrete distributions and independence.
- Week 5: Conditional expectations.Probability generating functions.
- Week 6: Distribution functions. Continuous random variables. Density functions. Expectations of continuous random variables
- Week 7: Random vectors. Marginal distributions. Independence
- Week 8: Sums of random variables. Change of variables. Conditional density
- Week 9: Multivariate normal. Moments and covariance of continuous random variables
- Week 10: Moment generating functions, The main limit theorems
- Week 11: Random walks, Markov chains: introduction
- Week 12: Markov chains: limit theorems
link di riferimento:
Prove esami e risultati: