STOCHASTIC PROCESSES - Prof. A. Tancredi
Class hours: Monday 14:16, Tuesday 14:16 ,Thursday 16:18
The course will start on Tuesday 28th September 2022.
Winter session exam dates: TBA
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
Preliminary Weekly Course Calendar
- Week 1: Events and probability.
- Week 2: Conditional probability. Independence. Discrete random variables.
- Week 3: Functions of discrete random variables. Expectations. Multivariate discrete distributions and independence.
- Week 4: Probability generating functions.
- Week 5: Distribution functions. Continuous random variables. Density functions
- Week 6: Random vectors. Marginal distributions. Independence
- Week 7: Sums of random variables. Change of variables.
- Week 8: Multivariate normal. Moments and moment generating functions
- Week 9: The main limit theorems
- Week 10: Random walks
- Week 11: Markov chains: introduction
- Week 12: Markov chains: limit theorems