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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
11
votes
5
answers
4k
views
Brownian motion, martingales, Markov Chains - Rosetta Stone
What are the most
fundamental/useful/interesting ways in
which the concepts of Brownian motion,
martingales and markov chains are
related?
I'm a graduate student doing a crash course in p …
21
votes
3
answers
6k
views
Why pi-systems and Dynkin/lambda systems? On the relative merits of approaches in measure th...
What is the point of $\pi$-systems and
$\mathcal{D}$ / Dynkin /
$\lambda$-systems?
I am an analyst in the process of consolidating my measure theory knowledge before moving on to harder/newe …