Introduction to probability and measure (Q2483741)

The author gives a uniform approach to probability theory and measure theory. The main idea of this book has been characterized in the Preface: ``The present book has been written in the hope that it will provide the impetus to introduce in undergraduate and graduate programmes both measure theory and probability theory and probability theory as a one year course''. The book is divided into eight chapters. The starting point of considerations is the definition of the Boolean algebra, which is defined as a family of subsets of a sample space \(X\) containing the empty set and \(X\), closed under union, intersection and complement. In general Chapter 1 studies probability on Boolean algebras (in particular, the classical limit theorem of Poisson). Chapter 2 is connected with extension of measures defined on the family of some subsets of \(X\) to a fixed \(\sigma\)-algebra of sets. Chapter 3 focuses on Borel maps. Domains of this functions are Borel spaces (more general: measurable spaces) and range: separable spaces. In particular, in this part Lusin's theorem in the case of Borel maps, the isomorphism theorem and the Daniel-Kolmogorov consistency theorem are proved. Chapter 4 deals with integration. This chapter contains some classical inequalities, limit theorems and the Riesz representation theorem. Chapter 5 presents results connected with measures on product space. In this chapter the author examines the transition measure (measure constructed on a product space). Citation from the book: ``the product measure turns out to be a special case of a such construction''. In particular the Lebesgue measure on \(R^{n}\) is considered. In Chapter 6 have been introduced the notions Banach space and Hilbert space. In this part of the book the author considers, among other things, the Radon-Nikodým theorem, decomposition of measures, Birkhoff's individual ergodic theorem, and the dominated \(L_{p}\) ergodic theorem. Chapter 7 is connected with weak convergence of probability measures. Main results of this chapter deal with criteria for weak convergence, Prohorov's theorem and Fourier transforms of probability measures in \(R^{k}\). The last chapter contains results connected with the Haar measure, homogonous spaces and the Mackey-Weil theorem. In my opinion this book is characterized by a good choice of examples, a lot of interesting exercises and commentaries and well-organized material. [See also the review of the 1st edition (1977) in Zbl 0395.28001].