Probability theory. A comprehensive course (Q5891083)

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scientific article; zbMATH DE number 6189111
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Probability theory. A comprehensive course
scientific article; zbMATH DE number 6189111

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    Probability theory. A comprehensive course (English)
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    18 July 2013
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    This the second (English) edition of a comprehensive text book on probability theory, which is especially in Germany very popular, see [\textit{A. Klenke}, Probability theory. Berlin: Springer (2006; Zbl 1103.60001)] for the first (German) edition. The book is dedicated to graduate students who start to learn probability theory as well as to those who need an excellent reference book. Relying on measure theoretic concepts, which are introduced too, all basic topics are presented in detail starting from independence, the laws of large numbers, conditional expectation up to characteristic functions, the central limit theorem and infinitely divisible distributions. The theory of (mainly discrete-time) stochastic processes, like martingales and Markov chains, is covered, including optional stopping results, martingale convergence theorems and ergodic theory, respectively. Finally, there is an introduction into stochastic analysis, containing theory on Brownian motion, the law of the iterated logarithm, Itō's calculus, stochastic differential equations and Poisson point processes. All results are presented in a self-contained way and are rigorously proved. Each section of the 26 chapters ends with a number of exercises, overall more than 270. In this second edition several errors are corrected, the text is extended and new figures and illustrations are included. Altogether it is a very valuable book for all students who specialize in probability theory or statistics.
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    measure theory
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    laws of large numbers
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    central limit theorem
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    conditional expectation
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    martingales
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    Markov chains
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    Brownian motion
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    stochastic integral
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