Syllabus for Advanced Probability II,
Stochastic Processes
36-754
Cosma Shalizi
Spring 2006
This course is an advanced treatment of interdependent random variables
and random functions, with twin emph
Solution to Homework #3, 36-754
25 February 2006
Exercise 10.1
I need one last revision of the denition of a Markov operator: a linear operator
on L1 satisfying the following conditions.
1. If f 0 (-a
Solution to Homework #2, 36-754
7 February 2006
Exercise 5.3 (The Logistic Map as a MeasurePreserving Transformation)
The logistic map with a = 4 is a measure-preserving transformation, and the measur
Solution to Homework #1, 36-754
27 January 2006
Exercise 1.1 (The product -eld answers countable questions)
Let D = S X S , where the union ranges over all countable subsets S of the index set T . For
Bibliography
Abramowitz, Milton and Irene A. Stegun (eds.) (1964). Handbook of Mathematical Functions . Washington, D.C.: National Bureau of Standards. URL
http:/www.math.sfu.ca/cbm/aands/.
Algoet, Pa
Chapter 35
Large Deviations for
Stochastic Dierential
Equations
This last chapter revisits large deviations for stochastic dierential equations in the small-noise limit, rst raised in Chapter 22.
Sect
Chapter 34
Large Deviations for
Weakly Dep endent
Sequences: The
Grtner-Ellis Theorem
a
This chapter proves the Grtner-Ellis theorem, establishing an
a
LDP for not-too-dependent processes taking value
Chapter 32
Large Deviations for
Markov Sequences
This chapter establishes large deviations principles for Markov
sequences as natural consequences of the large deviations principles
for IID sequences
Chapter 31
Large Deviations for I ID
Sequences: The Return of
Relative Entropy
Section 31.1 introduces the exponential version of the Markov inequality, which will be our ma jor calculating device, an
Chapter 30
General Theory of Large
Deviations
A family of random variables follows the large deviations principle if the probability of the variables falling into bad sets, representing large deviatio
Chapter 29
Entropy Rates and
Asymptotic Equipartition
Section 29.1 introduces the entropy rate the asymptotic entropy per time-step of a stochastic process and shows that it is
well-dened; and similar
Chapter 28
Shannon Entropy and
Kullback-Leibler
Divergence
Section 28.1 introduces Shannon entropy and its most basic properties, including the way it measures how close a random variable is
to being
Chapter 27
Mixing
A stochastic process is mixing if its values at widely-separated
times are asymptotically independent.
Section 27.1 denes mixing, and shows that it implies ergodicity.
Section 27.2 g
Chapter 26
Decomp osition of
Stationary Pro cesses into
Ergo dic Comp onents
This chapter is concerned with the decomposition of asymptoticallymean-stationary processes into ergodic components.
Sectio
Chapter 25
Ergo dicity
This lecture explains what it means for a process to be ergodic
or metrically transitive, gives a few characterizes of these properties (especially for AMS processes), and deduc
Chapter 24
The Almost-Sure Ergo dic
Theorem
This chapter proves Birkho s ergodic theorem, on the almostsure convergence of time averages to expectations, under the assumption that the dynamics are asy
Chapter 22
Large Deviations for
Small-Noise Sto chastic
Dierential Equations
This lecture is at once the end of our main consideration of diffusions and stochastic calculus, and a rst taste of large d
Chapter 20
More on Sto chastic
Dierential Equations
Section 20.1 shows that the solutions of SDEs are diusions, and
how to nd their generators. Our previous work on Feller processes
and martingale pro
Chapter 18
Stochastic Integrals with
the Wiener Pro cess
Section 18.1 addresses an issue which came up in the last lecture,
namely the martingale characterization of the Wiener process.
Section 18.2 g
Chapter 17
Diusions and the Wiener
Pro cess
Section 17.1 introduces the ideas which will occupy us for the
next few lectures, the continuous Markov processes known as diusions, and their description i
Chapter 16
Convergence of Random
Walks
This lecture examines the convergence of random walks to the
Wiener process. This is very important both physically and statistically, and illustrates the utilit
Chapter 15
Convergence of Feller
Pro cesses
This chapter looks at the convergence of sequences of Feller processes to a limiting process.
Section 15.1 lays some ground work concerning weak convergence
Chapter 14
Feller Processes
Section 14.1 fullls the demand, made last time, for an example
of a Markov process which is not strongly Markovian.
Section 14.2 makes explicit the idea that the transition
Chapter 13
The Strong Markov
Prop erty and Martingale
Problems
Section 13.1 introduces the strong Markov property independence of the past and future conditional on the state at random
(optional) time
Chapter 12
Generators of Markov
Pro cesses
This lecture is concerned with the innitessimal generator of a
Markov process, and the sense in which we are able to write the evolution operators of a homog
Chapter 11
Markov Examples
Section 11.1 nds the transition kernels for the Wiener process,
as an example of how to manipulate such things.
Section 11.2 looks at the evolution of densities under the ac
Chapter 10
Alternate Characterizations
of Markov Pro cesses
This lecture introduces two ways of characterizing Markov processes other than through their transition probabilities.
Section 10.1 addresse
Chapter 9
Markov Pro cesses
This lecture begins our study of Markov processes.
Section 9.1 is mainly ideological: it formally denes the Markov
property for one-parameter processes, and explains why it
Chapter 8
More on Continuity
Section 8.1 constructs separable modications of reasonable but
non-separable random functions, and explains how separability relates to non-denumerable properties like con
Chapter 7
Continuity of Sto chastic
Pro cesses
Section 7.1 describes the leading kinds of continuity for stochastic
processes, which derive from the modes of convergence of random
variables. It also d