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

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