During period 2 (28.10–17.12) of the fall term 2013 I will give a series of lectures on advanced probability. The course is an introduction to probability theory based on the theory of measure and integration, and is directed at advanced undergraduate and graduate students in the mathematical sciences. Interested students from other disciplines with the necessary mathematical background are also welcome. Solving the weekly homework problems is the most important part of the course, and the best way to assimilate the course material.

The course presupposes knowledge of abstract measure theory and integration (or at least the Lebesgue version of these), as typically covered in a first course on real analysis (see, e.g., Royden, H.L.: Real Analysis, or Wheeden, R.L. and Zygmund, A.: Measure and Integral. An Introduction to Real Analysis). In addition, it will be assumed that the students have had a solid one-term course in probability (see, e.g., Ross, S.: A First Course in Probability).

For further information, see the attached pdf.