Advanced Probability

Catalog description

Fundamentals of measure and integration theory: fields, o-fields, and measures; extension of measures; Lebesgue-Stieltjes measures and distribution functions; measurable functions and integration theorems; the Radon-Nikodym Theorem, product measures, and Fubini's Theorem. Introduction to measure-theoretic probability: probability spaces and random variables; expectation and moments; independence, conditioning, the Borel-Cantelli Lemmas, and other topics as time allows.