Probability
Description
This course will cover the following topics:
- Foundations
- Conditioning and independence
- Random variables and their laws
- Important special distributions
- Convergence and related concepts
- Sequences of independent random variables
- Conditional expectation and martingales
- Martingale limit theorems and applications
- Poisson processes
- Markov chains in discrete and continuous time
- Ergodicity
- Elements of renewal theory and applications
- Simulation
- MCMC and applications
- Brownian motion
- Simple stochastic differential equations
Teaching staff for 2011-2012
| Name | Department | University |
|---|---|---|
| Professor Sergey Foss | Actuarial Mathematics & Statistics | Heriot-Watt University |
| Dr Terence Chan | Actuarial Mathematics & Statistics | Heriot-Watt University |
| Dr James Cruise | Actuarial Mathematics & Statistics | Heriot-Watt University |
| Professor Istvan Gyongy | Mathematics | University of Edinburgh |
| Dr Seva Shneer | Actuarial Mathematics & Statistics | Heriot-Watt University |
| Dr Andrew Wade | Mathematics and Statistics | University of Strathclyde |