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Department of Mathematics MTL 794 (Advanced Probability Theory) 3 Credits (3-0-0) I Semester 2021 - 2022

This document provides information about the Advanced Probability Theory course MTL 794 offered in the Department of Mathematics. The course consists of 42 lectures covering key concepts in probability theory including stochastic convergence theorems, martingales, Markov chains, and the central limit theorem. Students will be evaluated based on two examinations worth 35 marks each, and two term research papers worth 15 marks each. The document lists the main and reference textbooks and provides contact information for the course coordinator.

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98 views2 pages

Department of Mathematics MTL 794 (Advanced Probability Theory) 3 Credits (3-0-0) I Semester 2021 - 2022

This document provides information about the Advanced Probability Theory course MTL 794 offered in the Department of Mathematics. The course consists of 42 lectures covering key concepts in probability theory including stochastic convergence theorems, martingales, Markov chains, and the central limit theorem. Students will be evaluated based on two examinations worth 35 marks each, and two term research papers worth 15 marks each. The document lists the main and reference textbooks and provides contact information for the course coordinator.

Uploaded by

dushyant kumar
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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DEPARTMENT OF MATHEMATICS

MTL 794 (Advanced Probability Theory)


3 Credits (3-0-0)
I Semester 2021 - 2022

INFORMATION SHEET

Course contents

Notions of Stochastic Convergence and Related Convergence Theorems, Uniform


Integrability, Weak and Strong Laws of Large Numbers, Speed of Convergence in the Strong
Laws of Large Numbers (No. of Lectures: 14)

Martingales, Processes, Filtrations, Stopping Times, Discrete Stochastic Integral, Martingale


Convergence Theorems and Their Applications (No. of Lectures: 14)

Levy’s Continuity Theorem and Various Versions of Central Limit Theorem, Markov Chains,
Discrete Markov Chains, Convergence of Markov Chains, Applications of Probability Theory
to Fourier Series-Examples. (No. of Lectures: 14)

Main Text Books

S R S Varadhan, Probability Theory, AMS Publications, 2001.

Reference Books

S R S Varadhan, Stochastic Processes, Courant Lecture Notes, 2007.

Williams, D. (1991): Probability with Martingales. Cambridge University Press

Kallenberg, O. (2002). Foundations of modern probability. Springer

Billingsley, P. (2008). Probability and measure. John Wiley & Sons

Jacod, J., & Protter, P. E. (2003). Probability essentials. Springer

Kai Lai Chung. A Course in Probability Theory. Academic Press, second edition, 1974.
Scheme of Evaluation

One Minor Examination 35 35


One Major Examination 35 35
Two levels of a term research paper of 15 2 X 15 30
Marks each level (Deadline before Minor and
Major Examinations starting date)
Total 100

IMPORTANT INFORMATION

 Students are encouraged to contact the Course Coordinator or Tutorial Teachers for any
difficulties regarding the course.
 Audit pass rule is minimum 50% in minor examination (i.e., 17.5 marks out of 35) and
minimum 50% in major examination (i.e., 17.5 marks of 35), hence the total of minimum
35 marks out of 70 marks from minor and major examinations.

INFORMATION about the Instructors

Name Room No. Phone No. Email

S Dharmaraja MZ 164 7104 dharmar@maths.iitd.ac.in

(S Dharmaraja)

COURSE COORDINATOR

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