A user's guide to measure theoretic probability
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Bibliographic Information
A user's guide to measure theoretic probability
（Cambridge series on statistical and probabilistic mathematics）
Cambridge University Press, 2002
- : pbk
Available at / 39 libraries
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Library, Research Institute for Mathematical Sciences, Kyoto University数研
POL||14||2||複本01094398
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Includes bibliographical references and index
Description and Table of Contents
Description
Rigorous probabilistic arguments, built on the foundation of measure theory introduced eighty years ago by Kolmogorov, have invaded many fields. Students of statistics, biostatistics, econometrics, finance, and other changing disciplines now find themselves needing to absorb theory beyond what they might have learned in the typical undergraduate, calculus-based probability course. This 2002 book grew from a one-semester course offered for many years to a mixed audience of graduate and undergraduate students who have not had the luxury of taking a course in measure theory. The core of the book covers the basic topics of independence, conditioning, martingales, convergence in distribution, and Fourier transforms. In addition there are numerous sections treating topics traditionally thought of as more advanced, such as coupling and the KMT strong approximation, option pricing via the equivalent martingale measure, and the isoperimetric inequality for Gaussian processes. The book is not just a presentation of mathematical theory, but is also a discussion of why that theory takes its current form. It will be a secure starting point for anyone who needs to invoke rigorous probabilistic arguments and understand what they mean.
Table of Contents
- 1. Motivation
- 2. A modicum of measure theory
- 3. Densities and derivatives
- 4. Product spaces and independence
- 5. Conditioning
- 6. Martingale et al
- 7. Convergence in distribution
- 8. Fourier transforms
- 9. Brownian motion
- 10. Representations and couplings
- 11. Exponential tails and the law of the iterated logarithm
- 12. Multivariate normal distributions
- Appendix A. Measures and integrals
- Appendix B. Hilbert spaces
- Appendix C. Convexity
- Appendix D. Binomial and normal distributions
- Appendix E. Martingales in continuous time
- Appendix F. Generalized sequences.
by "Nielsen BookData"
