Probability Prelim topics
- Probability spaces, random variables, expectation, variance, conditional distributions, Kolmogorov's extension theorem
Independence, Convergence in probability, almost sure convergence, Kolmogorov's 0-1 law, Weak law of large numbers, Borel-Cantelli Lemmas, Strong law of large numbers
Weak convergence, Characteristic functions, Plancherel's theorem, the Central limit theorem
- Conditional expectation, Filtrations, Martingales, Doob's decomposition, Stopping times, the optional stopping theorem, the Martingale convergence theorem
- D. Khoshnevisan, Probability, Graduate Studies in Mathematics, Volume 80, AMS, 2007.
- R. Durrett, Probability: Theory and Examples, Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 49. 2019.
- P. Billingsley, Probability and Measure, Wiley Series in Probability and Mathematical Statistics, 3rd Edition, 1995