Probability Theory and Martingales

The course concerns the foundations of probability theory, based on measure theory, as well as the theory for martingales.

In addition to fundamental concepts from measure theory, the course treats concepts such as probability spaces, stochastic convergence and limit theorems. In martingale theory, the course treats fundamental concepts, stopping theorems and limit theorems, as well as applications thereof.

This course replaces MT7047 Probability Theory III.

The course consists of two modules, theory and hand-in assignments.

Teaching Format

Teaching consists of lectures, exercises, and supervision.

Assessment

Assessment takes place through hand-in exercises and written examination.

Examiner

The schedule will be available no later than one month before the start of the course. We do not recommend print-outs as changes can occur. At the start of the course, your department will advise where you can find your schedule during the course.
Note that the course literature can be changed up to two months before the start of the course.

Gut Allan (2009). An Intermediate Course in Probability, Springer.

Andersson, Håkan and Djehiche, Boualem. An Introduction to Martingale Theory (provided by the department)

List of course literature Department of Mathematics

Course reports are displayed for the three most recent course instances.

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Course web

You can find our course webpages on kurser.math.su.se.

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