University of Pennsylvania - The Wharton School

Summer Math Camp 2011

Tentative Syllabus
http://opim.wharton.upenn.edu/mathcamp/2011/

Instructor:
Alessandro Arlotto
Office: JMHH 527.2
Office phone: 215-573-0507
e-mail: alear@wharton.upenn.edu

Timetable:
Tuesdays and Thursdays from August 2 to August 25, 2011
Time: 10.30am-12.00pm
Room: TBA

Recitations:
Thursdays from August 4 to August 25, 2011
Time: 1.30pm-2.30pm
Room: TBA

Final exam:
Tuesday, August 30, 2011
Time: 9.30am-12.30pm
Room: TBA

Textbooks:

• Sundaram, R., A First Course in Optimization Theory, Cambridge

University Press, 1996

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 • Ross, S. Stochastic Processes, John Wiley & Sons, Inc., 1996
Other references:
• Simon, C.P. and Blume, L., Mathematics for economists, W.W. Norton
& Co, 1994
• Rudin, W., Principles of mathematical analysis, Third edition, McGraw-
Hill, 1976
• Ok, E., Real analysis with economic applications, First edition, Prince-
ton University Press, 2007
• Gut, A., An intermediate course in probability, Springer, New York,
2009

Evaluation:
Four (4) assignments and one final exam. Assignments are worth 40% and
the final exam is worth 60% of the total score.
Students will not receive a letter grade and the course will not appear on
their transcripts. However, individual scores will be notified to each student
and to his/her Ph.D. Program Coordinator.

Course description:
Wharton’s Summer Math Camp covers the basic principles of mathematical
analysis, optimization theory and probability theory. It is the first part of a
two-course sequence. The second part, OPIM 912, is offered as a mini-course
during the first quarter of the Fall semester.
The course is meant to introduce the necessary mathematical tools that
are needed for a successful completion of the core courses in economics, op-
erations and statistics.
The course covers the first four chapters in Sundaram’s book (plus some
material in the Appendix), and the first chapter in Ross’ book. Though not
required, the books by Simon & Blume, Rudin, Ok and Gut listed above are
very useful references.
Simon & Blume cover the same material at a more basic level.
Rudin discusses Sundaram’s Chapters 1–4 in a more rigorous manner. He
proves many results that Sundaram is only stating. In class, I plan to cover
some of those proofs as well.

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 Ok’s book is intended as a textbook on real analysis for graduate students
in economics. Its treatment goes beyond what we will cover in this course
but it might become a useful future references for many of you.
Gut proposes a more extensive treatment of the probability topics we will
cover in class.

Prerequisites:
Students are assumed to be familiar with univariate and multivariate calcu-
lus. Some experience with proofs in mathematics is highly recommended.
Some exposure to linear algebra is useful, though not required.

Course topics:

• Elements of Analysis

– Real Number System

– Vector Spaces, Inner Product Spaces, Normed Spaces and Metric
Spaces
– Numerical Sequences in Rn
– Basic Topology
– Continuity and Differentiation
– Gradients and Higher Order Derivatives
– Separation Theorems
– Intermediate and Mean Value Theorems
– Inverse Function Theorem
– Envelope and Implicit Function Theorems

• Elements of linear algebra

– Matrices
– Quadratic Forms

• Optimization Problems in Rn and their Formulation

• Weierstrass Theorem

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 • Unconstrained Optimization: First and Second-Order Conditions

• Elements of Probability Theory

– Random Variables
– Expected Values
– Conditional Expectation
– Fundamental Inequalities
– Limit Theorems

Recitations:
Recitations are held every Thursday from 1.30pm to 2.30pm. Recitations are
meant to help students with lesser background, and to slow down the pace
of the morning lectures. During the recitations, I plan to cover worked-out
examples and exercises.

Office hours:
I am happy to meet you at any time: see me after class or email me to set
up a time.

Assignments:
Assignments will be posted on the course web page each Tuesday. Assign-
ments 1, 2, 3 will be due at the beginning of class the Tuesday after they have
been posted. Assignment 4 will be due Monday, August 29, 2011 by
12.00pm in my mailbox (OPIM Department, Suite 500, JHMM).
Assignments need not to be typed. Please write clearly and submit your
solutions in the natural numerical order.

Exam:
There will be one in class final exam Tuesday, August 30, 2011. The
exam will be closed books and closed notes. It will cover everything that is
discussed in class (definitions, theorems, proofs, ...) as well as exercises.