A basic course in probability theory (Q5925284)

The book provides the fundamentals of probability theory in a measure-theoretic framework and is intended as self-contained reference material for the forthcoming textbook `Theory and Applications of Stochastic Processes' by the same authors. It consists of thirteen chapters and their titles give a broad picture of the topics covered and their order of development: I. Random Maps, Distribution, and Mathematical Expectation; II. Independence, Conditional Expectation; III. Martingales and Stopping Times; IV. Classical Zero-One Laws, Laws of Large Numbers and Large Deviations; V. Weak Convergence of Probability Measures; VI. Fourier Series, Fourier Transform, and Characteristic Functions; VII. Classical Central Limit Theorems; VIII Laplace Transforms and Tauberian Theorem; IX. Random Series of Independent Summands; X. Kolmogorov's Extension Theorem and Brownian Motion; XI. Brownian Motion: The LIL and Some Fine-Scale Properties; XII. Skorokhod Embedding and Donsker's Invariance Principle; XIII. A Historical Note on Brownian Motion. Three appendices, on Measure and Integration, Topology and Function Spaces, and Hilbert Spaces and Applications in Measure Theory, provide further necessary background. The mathematical level is suitable for advanced undergraduate students and graduate students. The material is presented in a very dense and concise way and each chapter includes a section with exercises at the end, but not too many examples. Thus the book may be used very well as a reference text and companion literature for a lecture course, rather than as a book for self-study or the main basis for a lecture course. Nice features are that it not only contains essentials but also an interesting selection of results not necessarily found together elsewhere and that the authors aimed to bridge the gap between probabilistic and analytic mathematical language.