Lecturer: Stefan Adams
Term(s): Term 1
Commitment: 30 lectures
Assessment: Oral exam (50%), Essay (50%)
NEW lecture hours effective from week 3:
Tuesday 9-10 in B3.02 and Friday 11-12h in B3.02. Thursday lecture slots have been moved to Wednesday!
Wednesday 14-15h in B1.12 (exceptions are in week 5&9 when the class will be in B3.01).
Oral examination: Monday 16 December 2019 (information (pdf))
Essay (pdf) -guideline): hardcopy & pdf-file to be submitted by 31st January 2020 -12pm.
Prerequisites: Familiarity with topics covered in ST111 Probability A \& B; MA258 Mathematical Analysis III or MA259 Multivariate Calculus or ST208 Mathematical Methods or MA244 Analysis III; MA359 Measure Theory or ST342 Maths of Random Events.
The purpose of this module is to provide rigorous training in probability theory for students who plan to specialise in this area or expect probability to feature as an essential tool in their subsequent research. It will also be accessible to students who never got into probability theory beyond core-module level taught in the first year and who are eager to get acquainted with basic probability theory, in particular, the aim is to appeal to but not limited to students working in analysis, dynamical systems, combinatorics & discrete mathematics, and statistical mechanics. To include these two different groups of students and to accommodate their needs and various background the module will cover in the first two weeks a steep learning curve into basic probability theory (see part I below). Secondly, the written assessment, 50 % essay with 16 pages, can be chosen either from a list of basic probability theory (standard textbooks in probability and graduate lecture notes on probability theory) or from a list of high level hot research topics including original research papers and reviews and lecture notes (see below). List of essay topics (examples) (pdf).
Part I: Introduction to basic probability theory (week 1-3)
- Random variables, distributions, and convergence criteria
- Law of large numbers
- The Central Limit Theorem
- Markov processes (random walks in discrete time, scaling limit)
Part II: Introduction to core areas in probability theory (week 4-8)
The aim will be to develop problem-solving skills together with a deep understanding of the main ideas and techniques in probability theory in the following core areas during the following 5-6 weeks:
- Brownian Motion (definition and construction; Blumenthal’s 0-1 Law; Donsker's theorem; law of iterated logarithm; local times; Fokker-Planck equation; Wiener measure; Levy metric; Classical Potential theory).
- Discrete Gaussian Free Field (definition; specifications for spatial dependency structures; random walk representation)
- Large deviation theory (Cramer and Sanov theorem; Varadhan Lemma; Schilder's theorem; basic principles (bridge to variational analysis and PDE theory) and applications)
Part III: Optional topics and overview (week 9-10)
The third aim and part of the lecture in the remaining weeks will be to provide an overview of important areas of modern probability. These lectures are more of a seminar respectively review style, and they are geared to enable the students to obtain basic knowledge and overview in most active research areas of probability. The idea is to choose between one or (two) areas from the following list (the module leader chooses according to the demand and interest):
- Wasserstein gradient flow and large deviation theory
- Random Walks: (discrete heat equation; loop measures; loop-erased random walk; intersections; uniform spanning tree; Schramm-Loewner evolution).
- Poisson and Pure-Jump Markov processes: (random measures; point processes; Cox processes; randomization; thinning; Palm measures)
- Random combinatorial structures: (Watson processes; random matrices; random partitions; random graphs).
- (continuous) martingales (filtrations and optional times; Doob's inequality; convergence) or more towards analysis, classical potential theory (harmonic functions; heat kernel; Feynman-Kac; Green functions as occupation densities; capacities).
- Concentration of measures
- Random dynamical systems
Peter Moerters and Yuval Peres: Brownian motion, Cambridge University Press (2010).
Daniel W. Stroock: Probability - An analytic view; revised ed. Cambridge University Press (1993).
Olav Kallenberg: Foundations of Modern Probability, 2nd ed. Springer (2002).
L.C.C. Rogers & D. Williams: Diffusions, Markov processes, and martingales Vol 2, Cambridge University Press (2000).
Daniel W. Stroock & S.R. Srinivasa Varadhan: Multidimensional Diffusion Processes, Springer (1979).
Amir Dembo and Ofer Zeitouni: Large Deviations Techniques and Applications, Springer (1997).
Frank den Hollander, Large Deviations (Fields Institute Monographs), (paperback), American Mathematical Society (2008).
Jin Feng and Thomas G. Kurtz, Large Deviations for Stochastic Processes, American Mathematical Society (2006).
D.J. Daley & D. Vere-Jones: An introduction to the theory of point processes, Vol I, Springer (2005).
Gregory Lawler & Vlada Limic: Random Walk: A Modern Introduction, Cambridge University Press (2000).