Lectures: Tuesday and Thursday, 2:30-4:00, 2-131
Office hours: Tuesday and Thursday 4:00-5:00 except for colloquium Thursdays Sep. 29, Oct. 6, Nov. 3 and Ahlfors Lecture Thursday October 27. (Happy to stay later on corresponding Tuesdays and/or chat after colloquium.)
Assignments: 7 term problem sets (each worth 10% of grade) and 1 final problem set (worth 30% of grade). Collaboration is encouraged on the first seven problem sets, but students are required to complete the final problem set on their own. (Students are welcome to ask me questions about any of the problem sets during office hours.)
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:
Stellar course web site