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Year - 2020

Probability Theory lays the theoretical foundations that underpin the models we use when analysing phenomena that involve chance. This unit introduces the students to modern probability theory (based on measure theory) that was developed by Andrey Kolmogorov. You will be introduced to the fundamental concept of a measure as a generalisation of the notion of length and Lebesgue integration which is a generalisation of the Riemann integral. This theory provides a powerful unifying structure that brings together both the theory of discrete random variables and the theory of continuous random variables that were introduced earlier in your studies. You will see how measure theory is used to put other important probabilistic ideas into a rigorous mathematical framework. These include various notions of convergence of random variables, 0-1 laws, conditional expectation, and the characteristic function. You will then synthesise all these concepts to establish the Central Limit Theorem and to thoroughly study discrete-time martingales. Originally used to model betting strategies, martingales are a powerful generalisation of random walks that allow us to prove fundamental results such as the Strong Law of Large Numbers or analyse problems such as the gambler's ruin. By doing this unit you will become familiar with many of the theoretical building blocks that are required for any in-depth study in probability, stochastic systems or financial mathematics.

Classes

3 x 1hr lectures and 1 x 1hr tutorial per week

Assessment

12 x weekly homework (40%), final exam (60%)

Assumed knowledge

STAT2X11 or equivalent and STAT3X21 or equivalent; that is, a good foundational knowledge of probability and some acquaintance with stochastic processes.

STAT4028

Faculty: Science

Semester 1

24 Feb 2020

Department/School: Mathematics and Statistics Academic Operations

Study Mode: Normal (lecture/lab/tutorial) day

Census Date: 31 Mar 2020

Unit of study level: Honours

Credit points: 6.0

EFTSL: 0.125

Available for study abroad and exchange: Yes

Faculty/department permission required? No

Location

Camperdown

More details

HECS Band: 2

Leadership for good starts here

ABN: 15 211 513 464

CRICOS Number: 00026A

TEQSA: PRV12057