高斯過程

MATH5200 Spring 2020

(Wed 67 1:20-3:10pm / Thur 3 10:20-11:10am)

Room : 302 Astro-Math

Description : Gaussian processes, extremes of gaussian processes, convexity of measure, small deviations, application to disordered systems. Students are responsible for problem sets and presentations.

From wiki - Gaussian processes, Gaussian measure

Students' duty : Problem sets, presentations

Prerequisites : Measure theory; graduate probability theory will be a plus.

Reference : (E=NTU ebook)

1. [L1] M. Lifshits - Gaussian random functions (1995) (Not)

2. [L2] M. Lifshits - Lectures on Gaussian Processes (2012) (E)

Presentation materials :

1. I. Nourdin - Selected aspects of fractional Brownian motion (2012) (E)

2. Li and Shao - Gaussian processes: inequalities, small ball probabilities and applications (2001) (Online)

3. [vH] Ramon van Handel Probability in High Dimension