Lectures: MWF 1-2, 2-142

Office hours: Friday 2-4, 2-180

Assignments: 7 term problem sets (worth 10% of grade) and 1 final problem set (worth 30% of grade).

Official course description: Sums of independent random variables, central limit phenomena, infinitely divisible laws, Levy processes, Brownian motion, conditioning, and martingales.

Texts: There are many excellent textbooks and sets of lecture notes that cover the material of this course, several written by people right here at MIT. The course material is contained in the union of the following online texts for first-year graduate probability courses:

- S.R.S. Varadhan's lecture notes
- Amir Dembo's lecture notes
- Rick Durrett's book at CiteSeer or at Amazon
- Noel Vaillant's www.probability.net tutorials
- Dmitry Panchenko's notes for an earlier rendition of 18.175 .

TENTATIVE SCHEDULE

- Lecture 1 (September 5): Probability spaces and sigma-algebras
- Lecture 2 (September 7): Extension theorems: a tool for constructing measures
- Lecture 3 (September 10): Random variables and distributions
- Lecture 4 (September 12):
- Lecture 5 (September 14):
- Lecture 6 (September 17):
- Lecture 7 (September 19): PROBLEM SET DUE
- Lecture 8 (September 24):
- Lecture 9 (September 26):
- Lecture 10 (September 28):
- Lecture 11 (October 1): PROBLEM SET DUE
- Lecture 12 (October 3):
- Lecture 13 (October 5):
- Lecture 14 (October 10):
- Lecture 15 (October 12):
- Lecture 16 (October 15): PROBLEM SET DUE
- Lecture 17 (October 17):
- Lecture 18 (October 19):
- Lecture 19 (October 22):
- Lecture 20 (October 24):
- Lecture 21 (October 26): PROBLEM SET DUE
- Lecture 22 (October 29):
- Lecture 23 (October 31):
- Lecture 24 (November 2):
- Lecture 25 (November 5):
- Lecture 26 (November 7): PROBLEM SET DUE
- Lecture 27 (November 9):
- Lecture 28 (November 14):
- Lecture 29 (November 16):
- Lecture 30 (November 19): PROBLEM SET DUE
- Lecture 31 (November 21):
- Lecture 32 (November 26):
- Lecture 33 (November 28):
- Lecture 34 (November 30): PROBLEM SET DUE
- Lecture 35 (December 3):
- Lecture 36 (December 5):
- Lecture 37 (December 7):
- Lecture 38 (December 10):
- Lecture 39 (December 12): FINAL PROBLEM SET DUE