ISBN13: 978-0534424411

ISBN10: 0534424414

Cover type:

Edition/Copyright: 3RD 05

Publisher: Brooks/Cole Publishing Co.

Published: 2005

International: No

ISBN10: 0534424414

Cover type:

Edition/Copyright: 3RD 05

Publisher: Brooks/Cole Publishing Co.

Published: 2005

International: No

Modern and measure-theory based, this text is intended primarily for the first-year graduate course in probability theory. The book focuses attention on examples while developing theory. There is an emphasis on results that can be used to solve problems in the hopes that those who apply probability to work will find this a useful reference.

**Benefits: **

- The third edition has been extensively checked and rechecked and typographical errors have been removed to maintain the highest quality.
- Numerous examples bring the subject to life.
- Exercises range from simpler to more sophisticated ones, appealing to students of various skill levels.
- A broad variety of applications show how theorems relate to the real world.
- There are two types of exercises: those that are embedded in the text can be solved immediately using the material just presented, and those that appear at the end of the section present extensions of the results and various complements.
- Several sections have been rearranged and divided into subsections to enhance the text's clarity.
- The author has worked all the problems and prepared a solutions manual.

INTRODUCTORY LECTURE.

1. LAWS OF LARGE NUMBERS.

Basic Definitions. Random Variables. Expected Value. Independence. Weak Laws of Large Numbers. Borel-Cantelli Lemmas. Strong Law of Large Numbers. Convergence of Random Series. Large Deviations.

2. CENTRAL LIMIT THEOREMS.

The De Moivre-Laplace Theorem. Weak Convergence. Characteristic Functions. Central Limit Theorems. Local Limit Theorems. Poisson Convergence. Stable Laws. Infinitely Divisible Distributions. Limit theorems in Rd.

3. RANDOM WALKS.

Stopping Times. Recurrence. Visits to 0, Arcsine Laws. Renewal Theory.

4. MARTINGALES.

Conditional Expectation. Martingales, Almost Sure Convergence. Examples. Doob's Inequality, Lp Convergence. Uniform Integrability, Convergence in L1.Backwards Martingales. Optional Stopping Theorems. Optional Stopping Theorems.

5. MARKOV CHAINS.

Definitions and Examples. Extensions of the Markov Property. Recurrence and Transience. Stationary Measures. Asymptotic Behavior. General State Space.

6. ERGODIC THEOREMS.

Definitions and Examples. Birkhoff's Egodic Theorem. Recurrence. Mixing. Entropy. A Subadditive Ergodic Theorem. Applications.

7. BROWNIAN MOTION.

Definition and Construction. Markov Property, Blumenthal's 0-1 Law. Stopping Times, Strong Markov Property. Maxima and Zeros. Martingales. Donsker's Theorem. CLT's for Dependent Variables. Empirical Distributions, Brownian Bridge. Laws of the Iterated Logarithm.

APPENDIX: MEASURE THEORY.

REFERENCES.

NOTATION.

NORMAL TABLE.

INDEX.

ISBN10: 0534424414

Cover type:

Edition/Copyright: 3RD 05

Publisher: Brooks/Cole Publishing Co.

Published: 2005

International: No

Modern and measure-theory based, this text is intended primarily for the first-year graduate course in probability theory. The book focuses attention on examples while developing theory. There is an emphasis on results that can be used to solve problems in the hopes that those who apply probability to work will find this a useful reference.

**Benefits: **

- The third edition has been extensively checked and rechecked and typographical errors have been removed to maintain the highest quality.
- Numerous examples bring the subject to life.
- Exercises range from simpler to more sophisticated ones, appealing to students of various skill levels.
- A broad variety of applications show how theorems relate to the real world.
- There are two types of exercises: those that are embedded in the text can be solved immediately using the material just presented, and those that appear at the end of the section present extensions of the results and various complements.
- Several sections have been rearranged and divided into subsections to enhance the text's clarity.
- The author has worked all the problems and prepared a solutions manual.

Table of Contents

INTRODUCTORY LECTURE.

1. LAWS OF LARGE NUMBERS.

Basic Definitions. Random Variables. Expected Value. Independence. Weak Laws of Large Numbers. Borel-Cantelli Lemmas. Strong Law of Large Numbers. Convergence of Random Series. Large Deviations.

2. CENTRAL LIMIT THEOREMS.

The De Moivre-Laplace Theorem. Weak Convergence. Characteristic Functions. Central Limit Theorems. Local Limit Theorems. Poisson Convergence. Stable Laws. Infinitely Divisible Distributions. Limit theorems in Rd.

3. RANDOM WALKS.

Stopping Times. Recurrence. Visits to 0, Arcsine Laws. Renewal Theory.

4. MARTINGALES.

Conditional Expectation. Martingales, Almost Sure Convergence. Examples. Doob's Inequality, Lp Convergence. Uniform Integrability, Convergence in L1.Backwards Martingales. Optional Stopping Theorems. Optional Stopping Theorems.

5. MARKOV CHAINS.

Definitions and Examples. Extensions of the Markov Property. Recurrence and Transience. Stationary Measures. Asymptotic Behavior. General State Space.

6. ERGODIC THEOREMS.

Definitions and Examples. Birkhoff's Egodic Theorem. Recurrence. Mixing. Entropy. A Subadditive Ergodic Theorem. Applications.

7. BROWNIAN MOTION.

Definition and Construction. Markov Property, Blumenthal's 0-1 Law. Stopping Times, Strong Markov Property. Maxima and Zeros. Martingales. Donsker's Theorem. CLT's for Dependent Variables. Empirical Distributions, Brownian Bridge. Laws of the Iterated Logarithm.

APPENDIX: MEASURE THEORY.

REFERENCES.

NOTATION.

NORMAL TABLE.

INDEX.

- Marketplace
- From