21-721 Probability
12 units, Carnegie Mellon University
Probability spaces, random variables, expectation, independence, Borel-Cantelli lemmas. Kernels and product spaces, existence of probability measures on infinite product spaces, Kolmogorov's zero-one law. Weak and strong laws of large numbers, ergodic theorems, stationary sequences. Conditional expectation: characterization, construction and properties. Relation to kernels, conditional distribution, density. Filtration, adapted and predictable processes, martingales, stopping times, upcrossing inequality and martingale convergence theorems, backward martingales, optional stopping, maximal inequalities. Various applications of martingales: branching processes, Polya's urn, generalized Borel-Cantelli, Levy's 0-1 law, martingale method, strong law of large numbers, etc. Weak convergence of probability measures, characteristic functions of random variables, weak convergence in terms of characteristic functions. Central limit theorem, Poisson convergence, Poisson process. Large deviations, rate functions, Cramer's Theorem. (Three 50 minute lectures)
Prerequisites: (21-355 (min B) or 21-235 (min B) or 21-455 (min B)) and (21-373 (min B) or 21-237 (min B)) and 21-720 (min B)
Offered: Spring 2027, Spring 2026
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