MATH-GA.2901-001 Essentials Of Probability
The course introduces the basic concepts and methods of probability.
Topics include: probability spaces, random variables, distributions, law of large numbers, central limit theorem, random walk, Markov chains and martingales in discrete time, and if time allows diffusion processes including Brownian motion.
Calculus through partial derivatives and multiple integrals; no previous knowledge of probability is required.
- Probability and Random Processes, 3rd edition by G.Grimmett and D. Stirzaker, Oxford Press 2001 (Note: this is NOT the newer 4th edition).