News & Events

AIS Stochastic Processes - Level II

Date/Time: 
Monday, June 24, 2019 (All day) to Friday, July 12, 2019 (All day)
Venue: 
SMS Seminar Hall
Title: 
AIS - Stochastic Processes - level II

Most Indian Universities however do not have a rigorous study on probability. The aim of this school is to give a comprehensive training to students in a undergraduate/PhD programme on probability and stochastic processes. Also to give them a chance to interact with researchers in these topics. This is a follow up program of last year AIS on stochastic process held here at NISER, Bhubaneswar.
We propose to run three courses – 1) Measure theoretic probability, 2) Conditional probability and Martingale, 3) Brownian motion. There will be around 30 hours of lectures including tutorials per topic over a 3 weeks period. 

Organizers:

a) Nabin Kumar Jana, Assistant Professor, NISER, Bhubaneswar

b) Rahul Roy, Professor, ISI, Delhi

Funded by: IASc, Bengaluru and NCM, Mumbai

Target audience: Those who have attended Advanced Instructional School on stochastic processes 2018.

Speakers
a) B V Rao, CMI, Chennai
b) Rahul Roy, ISI, Delhi
c) Parthanil Roy, ISI, Bangalore
d) Arijit Chakrabarty, ISI, Kolkata
e) Srikanth Iyar, IISc, Bangalore

f) Manjunath Krishnapur, IISc, Bangalore

 

Syllabus: We plan to cover the following topics in this AIS.

1. Measure theoretic probability: Caratheodory extension theorem , Monotone class theorem, Dynkin’s pi-lambda theorem, MCT, Fatou’s Lemma, DCT, Fubini’s theorem. Probability spaces, random variables and random vectors, expected value and its properties. Independence. Various modes of convergence and their relation. The Borel-Cantelli lemmas. Weak Law of large numbers for i.i.d. finite mean case. Kolmogorov 0-1 law, Kolmogorov’s maximal inequality. Statement of Kolmogorov’s three-Series theorem (proof if time permits). Strong law of large numbers for i.i.d. case. Characteristic functions and its basic properties, inversion formula, Levy’s continuity theorem. Lindeberg CLT, CLT for i.i.d. finite variance case, Lyapunov CLT.

2. Conditional probability and Martingale: Absolute continuity and singularity of measures. Hahn-Jordon decomposition, Radon-Nikodym Theorem, Lebesgue decomposition. Conditional expectation – Definition and Properties. Regular conditional probability, proper RCP. Regular conditional distribution. Discrete parameter martingales, sub-and super-martingales. Doob’s Maximal Inequality, Upcrossing inequality, martingale convergence theorem, Lp inequality, uniformly integrable martingales, reverse martingales, Levy’s upward and downward theorems. Stopping times, Doob’s optional sampling theorem. Discrete martingale transform, Doob’s Decomposition Theorem. Applications of martingale theory: SLLN for i.i.d. random variables.

3. Brownian motion: Introduction to Brownian Motion, Kolmogorov Consistency theorem, Kolmogorov Continuity theorem, Construction of BM. Basic Martingale Properties and path properties – including Holder continuity and non-differentiability. Quadratic variation. Markov Property and strong Markov property of BM, reflection principle, Blumenthal’s 0-1 law. Distributions of first passage time and of running maximum of BM.

Interested participant can fill the following google form till 19th June 2019:

https://forms.gle/KHr4WYjxbk9gHT569

Program Schedule:

24th June 2019  
08:00-08:50 Breakfast at M5 of SMS Building
8:30-09:00 Registration at SMS Seminar room
09:00-11:00 Measure Theoretic Probability By B V Rao
11:00-11:30 Tea Break
11:30-12:30 Tutorial
12:40-14:30 Lunch Break
14:30-16:30 Measure Theoretic Probability By S Iyer
16:30:17:00 Tea & Snacks
17:00-18:00 Tutorial
20:00-21:00 Dinner at M5 of SMS Building
25th -- 28th June 2019  
08:00-08:50 Breakfast
09:00-11:00 Measure Theoretic Probability By B V Rao
11:00-11:30 Tea Break
11:30-12:30 Tutorial
12:30-14:30 Lunch Break
14:30-16:30 Measure Theoretic Probability By S Iyer
16:30:17:00 Tea & Snacks
17:00-18:00 Tutorial
20:00-21:00 Dinner
29th June 2019  
08:00-08:50 Breakfast
9:00-16:00 Heritage Tour to Bhubaneswar
20:00-21:00 Dinner
01st July -- 05th July 2019  
08:00-08:50 Breakfast
09:00-11:00 Conditional Probability and Martingales by A Chakrabarty
11:00-11:30 Tea Break
11:30-12:30 Tutorial
12:30-14:30 Lunch Break
14:30-16:30 Brownian Motion by R Roy
16:30:17:00 Tea & Snacks
17:00-18:00 Tutorial
20:00-21:00 Dinner
06th July 2019  
08:00-08:50 Breakfast
09:00-12:30 Group Discussions
11:00-11:30 Tea Break
12:30-14:30 Lunch Break
14:30-16:30 Group Discussions
16:30:17:00 Tea & Snacks
20:00-21:00 Dinner  
08th July -- 11th July 2019  
08:00-08:50 Breakfast
09:00-11:00 Brownian Motion by M Krishnapur
11:00-11:30 Tea Break
11:30-12:30 Tutorial
12:30-14:30 Lunch Break
14:30-16:30 Conditional Probability and Martingales by P Roy
16:30:17:00 Tea & Snacks
17:00-18:00 Tutorial
20:00-21:00 Dinner
12th July 2019  
08:00-08:50 Breakfast
09:00-11:00 Brownian Motion by M Krishnapur
11:00-11:30 Tea Break
11:30-12:30 Tutorial
12:30-14:00 Lunch Break
14:00-16:00 Conditional Probability and Martingales by P Roy
16:00-16:30 Feedback
16:30:17:00 Tea & Snacks
17:00-17:30 Conclusion
20:00-21:00 Dinner

Confirmed Participants:

Name Affiliation
Shivam Dhama IIT Gandhinagar
Ekta IIT Gandhinagar
Debashish Bose Shiv Nadar University
MOHAMMED HISHAM M Pondicherry University
Akhil Kumar Sahoo IISER Kolkata
Saikat Patra University of Calcutta
MOSTAFIZAR KHANDAKAR IIT BHILAI
Soham Ghosh University Of Kalyani
Barniit Adhikary University of kalyani
JEWEL MAHAJAN Iiser pune
Suvadip Sana Indian statistical Institute,Bangalore.
Monika Singh Dhull Indian Institute of Technology, Ropar
Ghodekar Shivani Shankarrao Pondicherry University
Aniket Datta University Of Kalyani
Anewsha Basu University Of Kalyani
DEBOLENA BASAK UNIVERSITY OF KALYANI
poushali sengupta university of kalyani
Arunodaya Bhattacharya university of Kalyani
Susmita Ghosh University of Kalyani
Aishani Barman Roy University of Kalyani

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School of Mathematical Sciences

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Tel: +91-674-249-4081

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