Probability Theory I

Prerequisites: A thorough knowledge of elementary real analysis and some previous knowledge of probability. Overview of measure and integration theory. Probability spaces and measures, random variables and distribution functions. Independence, Borel-Cantelli lemma, zero-one laws. Expectation, uniform integrability, sums of independent random variables, stopping times, Wald's equations, elementary renewal theorems. Laws of large numbers. Characteristic functions. Central limit problem; Lindeberg-Feller theorem, infinitely divisible and stable distributions. Cramer's theorem, introduction to large deviations. Law of the iterated logarithm, Brownian motion, heat equation.