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first edition has been published in 1993.] As its preface says, this is a book written by D.~W.~Stroock for himself. But the following description of its contents should make it clear that others can and will also benefit a lot from reading it. Chapter I introduces independence and presents the standard almost sure convergence theorems for partial sums of independent random variables: weak and strong laws of large numbers and Hartman-Wintner's law of the iterated logarithm. The proof of the latter uses Cram\u00e9r's large deviations estimates and a reduction to the case of bounded random variables. Chapter II on the central limit theorem first derives Lindeberg's general version and then the Berry-Ess\u00e9en estimate by an adaptation of Stein's method due to Bolthausen. Fourier analysis techniques are then introduced to develop extensions of the basic CLT to more than one dimension. Finally, the CLT is applied to the study of Hermite multipliers and used to derive both Nelson's hypercontraction estimate for the Mehler kernel as well as Beckner's estimate for the Fourier transform. Chapter III deals with probability measures on function spaces and starts by presenting the general theory of weak convergence on Polish spaces. This is followed by a proof of the L\u00e9vy-Khinchin formula and L\u00e9vy's explanation of it in terms of the path structure of the associated process with independent stationary increments. The final section constructs Wiener's measure and derives Donsker's invariance principle. As its name says, Chapter IV contains a celebration of Wiener's measure, starting with elementary properties like scaling invariance and continuity properties of Wiener paths. This is followed by the Gaussian point of view which includes a brief excursion into abstract Wiener spaces, an introduction to pinned Wiener paths and Wiener's own construction via random trigonometric series. The final section proves the strong Markov property, gives an exposition of the Feynman-Kac formula and uses this to derive L\u00e9vy's arcsine law. Chapter V introduces conditional expectations and presents the basic theory of discrete-parameter real martingales, including Doob's inequality and the stopping and convergence theorems. It also shows how conditional expectations and a good deal of martingale theory extend to \\(\\sigma\\)-finite measure spaces and Banach space-valued martingales and applies this by proving the Hardy-Littlewood inequality and the Calder\u00f3n-Zygmund decomposition lemma as applications of Doob's inequality. Chapter VI contains some applications of martingale theory, starting with Birkhoff's individual ergodic theorem in the multidimensional case. The maximal ergodic lemma used in its proof is derived here as an application of the Hardy-Littlewood inequality. The remaining major part of this chapter first provides a basic introduction to Calder\u00f3n and Zygmund's theory of singular integrals with emphasis on the striking similiarities between the theories of martingales and of singular integral operators. This is illustrated by an analysis of the Littlewood-Paley square function and two derivations of Burkholder's inequality. After transferring to the continuous parameter setting some parts of martingale theory, Chapter VII emphasizes the role of martingales in the characterization and analysis of diffusions. Martingales are used to prove some basic facts about the long-time behaviour of Wiener paths and then to give recurrence and transience criteria for more general Markov processes. This is followed by a study of diffusions obtained by subjecting Wiener paths to a drift and of its effect on transience and recurrence properties. The ergodic theory developed in Chapter VI is next adapted to the Markov setting to study the structure of the set of invariant measures and finally applied to diffusions whose drifts are gradient fields. The final Chapter VIII explains some of the connections between Wiener paths and classical potential theory. It starts with a construction of the heat kernel with Dirichlet boundary conditions for an arbitrary region and explains the notion of a regular point to describe the behaviour at the boundary. In particular, this corrects an error in the first edition. Further topics include the Dirichlet problem, the Green's function for regions in \\(\\mathbb{R}^n\\), Riesz's decomposition theorem for excessive functions, Chung's interpretation of the capacitory distribution and Wiener's test for regularity. As the above list of topics shows, this book is much more than an introduction to probability theory. It presupposes a solid knowledge in analysis and measure theory and \\`\\` some of the material presented in this book does not belong here\\'\\', to quote from the author's preface. But even if it is \\`\\` difficult to justify the inclusion of [some topics] in an introduction to probability theory\\'\\', the wealth of material presented and the strong emphasis on the intimate links between probability and analysis make this book worth having. I think this judgment can be made long before a decade has passed.","type":"string"},"datatype":"string"},"type":"statement","id":"Q4950593$42A49E4E-25D2-4FC6-AEF1-0765CB66F710","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:4950593","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:4950593"}}}}}