Welcome to the course (practical information)
Time and place: Our first lecture will take place on Wednesday 23rd of August at 10:15 am in Auditorium 4 in Vilhelm Bjerknes' hus (the building next to the Department of Mathematics). See the schedule of the course here.
The language of the course will be English unless everybody understands Norwegian, in such case it will be Norwegian. In any case, you may hand in your assignment and exam in English or any other Scandinavian language.
Literature/lecture material: We will use the following supporting book for this course: Jacod J., Protter P. Probability Essentials, 2nd Ed. 2004. Springer Berlin Heidelberg.
However, I will work out my own lecture notes progressively, which I will update every week with new content and exercises. There you will find all the material you need. You may use the book as supporting material if you so please.
Syllabus: We plan to cover the following topics:
- An introduction to measure theory and integration
- An axiomatic approach to probability
- Random variables
- Integration with respect to a probability measure
- Convergence of random variables
- Distributions and characteristic functions
- Conditional expectation
- Martingales
Methodology: Teaching will mostly consist of blackboard lectures. We may use programs (in R language, but you can choose your favourite programming language) to illustrate some concepts or plot figures. This course has 2 lectures on Mondays (14:15-16:00) and 2 on Wednesdays (10:15-12:00). I will publish the content of each lecture approximately one week before. Check this website regularly!
Assignment: There will be a compulsory assignment for this course. The date to hand in the assignment is 12th of October, 2023 no later than 14:30.
If you have any question you can reach me by e-mail.
Welcome and good luck!
David.