Seminars

【Regular Seminar】Seminar on Probability and Measure Theory

Author:Administrator    Publicsh date:2017-04-01    Clicks:339
Seminar on Probability and Measure Theory Meeting on: Thursdays 2:30-5:30 pm, Room 813 Abstract: This seminar is to provide necessary knowledge on probability and measure theory for the study ......
Seminar on Probability and Measure Theory 
Meeting on:
Thursdays 2:30-5:30 pm, Room 813
Abstract:
  This seminar is to provide necessary knowledge on probability and measure theory for the study of stochastic analysis and stochastic differential equations. 
Topics: 
(1) Probability measures and Distributions 
(2) Kolmogorov Extension Theorem
(3) Conditional Probability and Expectation
(4) Strong laws of large numbers and Martingale Theory, Markov Chains
(5) Normal distributions and their convergence, Central Limit Theorem 
(6) Stochastic Processes,Brownian Motion
(7) Hille-Yosida Theorem
(8) Ito Integrals and Ito’s Differentiation Formula
(9) Stochastic differential equations
References:
[1]  Probability and Measure Theory,   Robert B. Ash
[2]  Brownian Motion,    Rene L. Schilling and Lothar Partzsch
[3]  测度论讲义, 严加安
[4]  Introduction to stochastic integraton,  Hui-Hsiung Kuo
[5]  Functional analysis,  Yosida