Stochastic Processes 2

Course content

• Sequences of random variables, almost sure convergence, Kolmogorov's 0-1 law.
• The strong law of large numbers.
• Weak convergence of probability measures. Characteristic functions.
• The central limit theorem. Triangular arrays and Lindebergs condition. The multivariate central limit theorem.
• The ergodic theorem.
Education

BSc Programme in Actuarial Mathematics

Learning outcome

Knowledge:

• Fundamental convergence concepts and results in probability theory.

Skills: Ability to

• use the results obtained in the course to verify almost sure convergence or convergence in law of a sequence of random variables.
• verify conditions for the central limit theorem to hold.
• translate between sequences of random variables and iterative compositions of maps.

Competences: Ability to

• formulate and prove probabilistic results on limits of an infinite sequence of random variables.
• discuss the differences between the convergence concepts.

5 hours of lectures and 3 hours of exercises per week for 7 weeks.

Sandsynlighedsteori (Sand) - alternatively Mål- og integralteori (MI) from previous years.

The course is similar to the course Advanced Probability Theory 1 (VidSand1) (NMAK11003U)

Written
Oral
Continuous feedback during the course of the semester

Written feedback in the form of comments to the compulsory
assignements.

Oral feedback during exercise classes, as a response to the
contribution of the students to the solution process of the
exercises.

ECTS
7,5 ECTS
Type of assessment
Written examination, 4 hours under invigilation
Type of assessment details
Skriftlig prøve
Aid
All aids allowed
Marking scale
Censorship form
No external censorship
One internal examiner.
Criteria for exam assessment

The student should convincingly and accurately demonstrate the knowledge, skills and competences described under Intended learning outcome.

Single subject courses (day)

• Category
• Hours
• Lectures
• 35
• Preparation
• 131
• Theory exercises
• 21
• Exam
• 4
• Project work
• 15
• English
• 206

Kursusinformation

Language
English
Course number
NMAB15025U
ECTS
7,5 ECTS
Programme level
Bachelor
Duration

1 block

Placement
Block 1
Schedulegroup
B
Capacity
No limit
The number of seats may be reduced in the late registration period
Studyboard
Study Board of Mathematics and Computer Science
Contracting department
• Department of Mathematical Sciences
Contracting faculty
• Faculty of Science
Course Coordinator
• Ernst Hansen   (8-6b786e6774796b744673677a6e34717b346a71)
phone 35 32 07 73, office 04.3.12,
Saved on the 28-02-2023

Are you BA- or KA-student?

Are you bachelor- or kandidat-student, then find the course in the course catalog for students:

Courseinformation of students