Foundations of modern probability.
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This second edition presents now even more material in the concise and elegant style of the former edition (1997; Zbl 0892.60001) which by now has become a highly praised standard reference book for many areas of probability theory. The new topics are mainly concerned with asymptotics of Markov processes (e.g., more general ergodic theorems, Palm distributions, entropy, Harris recurrence) and with fundamental large deviation theory. Moreover, the inclusion of a second chapter on measure theory makes the book now almost self-contained. The chapters of the first edition have been carefully revised and corrected so that it has become an even more accurate and reliable reference work. Starting a book with a page entitled ``Praise for the first edition is always daring, but in the case of Kallenberg's treatise indeed justified. The patient reader is waiting for further topics covered by the author in the years to come.
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(only showing first 100 items - show all)- Pure strategy equilibria of single and double auctions with interdependent values
- An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
- Dispersion of volume under the action of isotropic Brownian flows
- An infinite-server queue influenced by a semi-Markovian environment
- Reaching the best possible rate of convergence to equilibrium for solutions of Kac's equation via central limit theorem
- Completely random signed measures
- Invariant transports of stationary random measures and mass-stationarity
- Continuity in the Hurst index of the local times of anisotropic Gaussian random fields
- Substochastic semigroups and densities of piecewise deterministic Markov processes
- Weak and strong laws of large numbers for coherent lower previsions
- A stationary Fleming-Viot type Brownian particle system
- Characterization of bidding behavior in multi-unit auctions
- Uniform time average consistency of Monte Carlo particle filters
- On random tomography with unobservable projection angles
- Empirical distributions in marked point processes
- Concentration for Poisson \(U\)-statistics: subgraph counts in random geometric graphs
- Effect of stochastic perturbations for front propagation in Kolmogorov Petrovskii Piscunov equations
- Uniform control of local times of spectrally positive stable processes
- Monte Carlo simulation of electron dynamics in liquid water
- From quantum mechanics to finance: microfoundations for jumps, spikes and high volatility phases in diffusion price processes
- Representations and isomorphism identities for infinitely divisible processes
- Disentangling eco-evolutionary effects on trait fixation
- Random Hermitian matrices and Gaussian multiplicative chaos
- Some asymptotic results for nonlinear Hawkes processes
- Scaling limits of stochastic processes associated with resistance forms
- The geometry of a critical percolation cluster on the UIPT
- Transporting random measures on the line and embedding excursions into Brownian motion
- Subcritical multiplicative chaos for regularized counting statistics from random matrix theory
- Large deviations for high-dimensional random projections of \(\ell_p^n\)-balls
- Stochastic Lotka-Volterra food chains
- Discretisations of rough stochastic PDEs
- Zooming in on a Lévy process at its supremum
- Davie's type uniqueness for a class of SDEs with jumps
- From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding
- Tail bounds for sums of geometric and exponential variables
- Stochastic reaction-diffusion equations driven by jump processes
- Exact simulation of the jump times of a class of piecewise deterministic Markov processes
- Nonlinear filtering with correlated Lévy noise characterized by copulas
- Data-driven non-Markovian closure models
- On the location of the zero-free half-plane of a random Epstein zeta function
- Volterra-type Ornstein-Uhlenbeck processes in space and time
- Stochastic Airy semigroup through tridiagonal matrices
- Sample path properties of permanental processes
- The argmin process of random walks, Brownian motion and Lévy processes
- Matrix normalised stochastic compactness for a Lévy process at zero
- Bernstein-gamma functions and exponential functionals of Lévy processes
- Large deviations and transitions between equilibria for stochastic Landau-Lifshitz-Gilbert equation
- Average cost criterion induced by the regular utility function for continuous-time Markov decision processes
- Asymptotic behavior of truncated stochastic approximation procedures
- Arbitrage without borrowing or short selling?
- Fractional partial differential equations with boundary conditions
- Explicit contraction rates for a class of degenerate and infinite-dimensional diffusions
- The self-normalized Donsker theorem revisited
- Moment convergence of Z-estimators
- Dynamic uniqueness for stochastic chains with unbounded memory
- Hankel determinants of random moment sequences
- Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients
- Sharing and growth in general random multiplicative environments
- Spectral measures of factor of i.i.d. processes on vertex-transitive graphs
- A probabilistic approach to spectral analysis of growth-fragmentation equations
- Backward nonlinear expectation equations
- An ergodic control problem for many-server multiclass queueing systems with cross-trained servers
- Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
- Stability of Radner equilibria with respect to small frictions
- Eldan's stochastic localization and tubular neighborhoods of complex-analytic sets
- Measures and integrals in conditional set theory
- Consistency of logistic classifier in abstract Hilbert spaces
- On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
- On the longest gap between power-rate arrivals
- Periods and factors of weak model sets
- H_ robust tracking control of stochastic T-S fuzzy systems with Poisson jumps
- Totally ordered measured trees and splitting trees with infinite variation
- The naming game on the complete graph
- Renewal theory for asymmetric \(U\)-statistics
- The convex hull of a planar random walk: perimeter, diameter, and shape
- Mutual winding angles of particles in Brownian stochastic flows with top Lyapunov exponent equal to zero
- Level-crossing intensity for the density of the image of Lebesgue measure under the action of a Brownian stochastic flow
- General tests of independence based on empirical processes indexed by functions
- Random distribution kernels and three types of defaultable contingent payoffs
- Global energy solutions to a stochastic Schrödinger-Poisson system with multiplicative noise in two dimensions
- The critical greedy server on the integers is recurrent
- Decomposition formula and stationary measures for stochastic Lotka-Volterra system with applications to turbulent convection
- A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
- Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
- An approach to stochastic integration in general separable Banach spaces
- Fluctuations in 1D stochastic homogenization of pseudo-elliptic equations with long-range dependent potentials
- Local convergence of large critical multi-type Galton-Watson trees and applications to random maps
- Transience and recurrence of random walks on percolation clusters in an ultrametric space
- On maximal hard-core thinnings of stationary particle processes
- Convex integral functionals of regular processes
- Order statistics of the moduli of the eigenvalues of product random matrices from polynomial ensembles
- Frogs on trees?
- Path-space moderate deviation principles for the random field Curie-Weiss model
- Recurrence and transience of contractive autoregressive processes and related Markov chains
- A representation for exchangeable coalescent trees and generalized tree-valued Fleming-Viot processes
- Correlated continuous time random walks and fractional Pearson diffusions
- Importance sampling: intrinsic dimension and computational cost
- On penalized estimation for dynamical systems with small noise
- Fractional Poisson fields and martingales
- Learning the fundamentals in a stationary environment
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