Math 230B / Stat 310B – Theory of Probability

Andrea Montanari, Stanford University, Winter 2014
Martingale according to a betting website 

Fundamentals of discrete-time stochastic processes. Topics include:

  • Conditional expectation and conditional probabilities;

  • Discrete time martingales and stopping times :maximal inequalites, martingale convergence, reverse martingales, applications;

  • Markov Chains: general construction, strong Markov property, countable state spaces (classification of states, recurrence, invariant measures, reversibility).

(On the left: representation of a martingale according to a betting website. Not quite accurate!)

Class Times and Locations

  • Monday and Wednesday, 9:30PM-10:45PM in Hewlett 103

  • There will be occasional sessions on Friday afternoon (TBD)

Announcements

There will be two extra sessions (taught by Nike and Ruojun) on February 14 and February 21, in Sequoia 200 from 9:30-10:45am. (The lectures will be about branching processes and exchangeability.)

The final is scheduled for Thursday, March 20, 8:30am-12:30pm, 200-305.