Gaussian measures and Gaussian processes
2004/2005, sem. 2
Note: no classes on May 19 (because of the IMU conference) and May 26 (because of the students day). Instead we plan classes on May 23 (16-19, Ornstein 102) and May 24 (16-19, Shenkar 222).
"Gaussian random variables and processes always played a central role in the probability theory and statistics. The modern theory of Gaussian measures combines methods from probability theory, analysis, geometry and topology and is closely connected with diverse applications in functional analysis, statistical physics, quantum field theory, financial mathematics and other areas."
R. Latala, On some inequalities for Gaussian measures. Proceedings of the International Congress of Mathematicians (2002), 813-822. arXiv:math.PR/0304343.