Introduction to Probability



  • 2012 Autumn/Monsoon (Aug - Dec)

The purpose of this course is to offer an elementary
introduction to Probability. The idea will be to do as much as
possible with a limited amount of measure theory. The level will be
that of an advanced undergraduate or beginning graduate course. The
main topics will be

Events, probability, conditional probability, random
variables, various distributions, discrete random variables,
continuous random variables, Markov chains, convergence of random
variables, martingales.

Evaluation: Homework Sets, Midterm Exam, Final Exam

Texts: Probability and Random Processes by Grimmett and Stirzaker
Introduction to Probability by Bertsekas and Tsitsiklis
Probability with Martingales by Williams