Learning objectives
The course provides the elements of probability theory useful for physical applications. The main emphasis is on stochastic processes (Markov chains and diffusion processes). <br />
Prerequisites
Calculus
Course unit content
Events and probability spaces, conditional probability, independence, Bayes' formula. Random variables, expectation and variance. Probability distribution and density. Functions of a random variable.<br />
Several random variables, independence, covariance.<br />
Markov chains<br />
The law of large numbers
Full programme
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Bibliography
Y.A.Rozanov, Probability theory: a concise course, Dover, 1969 <br />
Teaching methods
The course consists in a total of 32 hours of activities, mainly formal lectures, with some practice on the use of computer programs to generate and analyse random processes. <br />
Assessment methods and criteria
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Other information
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