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Mathematical foundations of probability theory. Probabilistic measure theory, random variables and their distributions, construction of expectation. Notions of convergence: almost sure, in probability, in L^p, weak convergence, vague convergence. Conditioning, independence, Borel-Cantelli lemmas, weak and strong laws of large numbers, characteristic functions, central limit theorem, and related concentration inequalities.

Prerequisite: ²Ñ´¡Ìý421 and ²Ñ´¡Ìý425 or ²Ñ´¡Ìý511

Typically offered in Fall only