4/13/12 Mathematics 523

Math 523-Probability (Fall 2010)

Instructor: Xia Chen

Office: Temple 106, (Phone: 974-4284).

Email: xchen@math.utk.edu

Website: http://www.math.utk.edu/~xchen

Class: MWF 2:30 pm. -3:20 pm. (HBB132)

Office Hours: MWF 10:00 am.- 11:00 am.

Text Book: Probability Essentials. By Jean Jacob and Philip Protter.

Course Description:
This is a advanced graduate course in probability, which focuses on a rigorous treatment of the materials
such that probability space, random variable (expectation, independence, etc.), convergence, the law of
large numbers and random series. We plan to cover most of the book. In Spring 2011, we will finish the
rest of the book (if nay left) and move to some more advanced topics (such as Brownian motions,
Markov processes and stochastic integrals) in Math 524.
I will give planty of examples to help understanding a variety of concepts introduced during the course.
I plan to keep this course self contained, and will not assume material other than what is covered in the
first course of probability and in advanced calculus. In particular, I will not assume results from measure
theory, which will be developed as needed.

Grading: Final Exam 30%; Midterm 20%; Homework 50%

Letters will be assigned as follows (subject to change): A:90-100%, B:80-89%, C:70-79%, D:60-70%,
F:59% or below.

Test Schedule:

Midterm: Will be determined later

Final exam: Will be determined later.

Homework assignment:

Homework #1 (Solution)

Chapter 2: 2.2, 2.3, 2.15

Chapter 3: 3.7, 3.11, 3.12, 3.13.
Chapter 4: 4.3.
Notice: Problem 2.7 is excluded.

Homework #2 (Solution)

Chapter 5: 5.1, 5.3, 5.4, 5.16, 5.18, 5.19, 5.20.

Homework #3 (Solution)

Chapter 2: 2.7
Chapter 7: 7.1, 7.5, 7.11, 7.14, 7.15, 7.17, 9.1, 9.2* (optional).

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4/13/12 Mathematics 523

Homework #4 (Solution)

Chapter 9: 9.4*, 9.5*, 9.6, 9.8, 9.9, 9.11, 9.16, 9.18, 9.19, 9.20.

Homework #5 (Solution)

Chapter 10: 10.2, 10.5, 10.6, 10.7, 10.8, 10.10*, 10.11, 10.12, 10.13, 10.16*, 10.18

Midterm solution (Solution)

Homework #6 (Solution)

Chapter 11: 11.4, 11.6, 11.10, 11.13, 11.15*

Chapter 12: 12.1, 12.3, 12.5, 12.6, 12.8, 12.11.

Homework #7 and #8 (Solution)

Chapter 14: 14.5, 14.6, 14.7, 14.8, 14.11, 14.15, 14.16*

Chapter 15: 15.2, 15.5, 15.13.
Chapter 16: 16.2, 16.3, 16.6, 16.7, 16.8, 16.16.
Chapter 17: 17.3, 17.4, 17.6.

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