The goal of this course is to introduce the main concepts in Probability Theory in a rigorous setting. Being at ease with the notions presented in this course is essential in Economics and Finance.

Course Outline:
1. Measure and Integration
2. The probabilistic model
3. Law of random variables
4. Random vectors
5. Convergence of random variables
6. Law of Large Numbers
7. Central Limit Theorems
8. Conditional expectation, conditional law

Bibliography:
BILINGSLEY, P., Probability and Measure, Wiley
CHUNG, K.L., A course in Probability Theory, Academic Press
GRIMMET, G., STIRZAKER P. Probability and Random Processes, Oxford University Press

Only PA QEF

Cours dispensé en Anglais

Dernière mise à jour : mercredi 21 mars 2012