Probability essentials
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Bibliographic Information
Probability essentials
（Universitext）
Springer, c2000
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Note
Includes bibliographical references (p. [245]-246) and index
Description and Table of Contents
Description
This introduction to "probability theory" can be used, at the initial graduate level, for a one-semester course on probability theory or for self-direction without benefit of a formal course. It should be useful for students and teachers in related areas such as finance theory (economics), electrical engineering and operations research. The text covers the essentials with 28 short chapters. Assuming of readers only an undergraduate background in mathematics, it should bring them from a starting knowledge of the subject to a knowledge of the basics of Martingale theory. After learning probability theory from this text, the student should be ready to continue with the study of more advanced topics, such as Brownian motion and Ito calculus, or statistical inference.
Table of Contents
- Axioms of probability
- conditional probability and independence
- probabilities on a countable space
- random variables on a countable space
- construction of a probability measure
- construction of a probability measure on R.
- random variables
- integration with respect to a probability measure
- independent random variables
- probability distributions on R.
- probability distributions on Rn.
- characteristic functions
- properties of characteristic functions
- sums of independent random variables
- Gaussian random variables (the normal and the multivariate normal distributions)
- convergence of random variables
- weak convergence
- weak convergence and characteristic functions
- the laws of large numbers
- the central limit theorem
- L2 and Hilbert spaces
- conditional expectation
- Martingales
- supermartingales and submartingales
- Martingale inequalities
- Martingale convergence theorems
- the Radon-Nikodym theorem.
by "Nielsen BookData"
