- Lecturer: James Martin
Moment generating functions and applications. Statements of the continuity and uniqueness theorems for moment generating functions. Characteristic functions (definition only). Convergence in distribution, convergence in probability, and almost sure convergence. Weak law of large numbers and central limit theorem for independent identically distributed random variables. Strong law of large numbers (proof not examinable).
Discrete-time Markov chains: definition, transition matrix, n-step transition probabilities, communicating classes, absorption, irreducibility, periodicity, calculation of hitting probabilities and mean hitting times. Recurrence and transience. Invariant distributions, mean return time, positive recurrence, convergence to equilibrium (proof not examinable), ergodic theorem (proof not examinable). Reversibility, detailed balance equations. Random walks (including symmetric and asymmetric random walks on \(Z\), and symmetric random walks on \(Z^d\).