Mth 667 Stochastic Processes and Probability Theory I

Sets, spaces, and measures. Probability distributions. Random variables. Dependence. Limit theorems. Birth and death processes and Markov processes. Mathematical statistics, hypothesis testing, and sequential analysis. Selected applications. This is the first course in a sequence of three: Mth 667, Mth 668, Mth 669 which must be taken in sequence. Recommended prerequisite: Mth 411/511, Stat 463/563.