Probability Theory and Stochastic Processes
This course offers a rigorous introduction to probability and stochastic processes. Emphasis is placed on the interaction between inequalities and limit theorems, as well as contemporary applications in computing and mathematical sciences. Topics include probability measures, random variables and expectation, independence, concentration inequalities, distances between probability measures, modes of convergence, laws of large numbers and central limit theorem, Gaussian and Poisson approximation, conditional expectation and conditional distributions, filtrations, and discrete-time martingales.
Please Note
The online version of the Caltech Catalog is provided as a convenience; however, the printed version is the only authoritative source of information about course offerings, option requirements, graduation requirements, and other important topics.