Probability theory. A comprehensive course
Brownian motioncentral limit theoremconditional expectationlaws of large numbersMarkov chainsmartingalesmeasure theorystochastic integral
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to measure and integration (28-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Foundations of stochastic processes (60G05) Stochastic integrals (60H05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
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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- Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients
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- Uniform nonintegrability of random variables
- Quasilinear parabolic stochastic evolution equations via maximal \(L^p\)-regularity
- A uniform \(L^1\) law of large numbers for functions of i.i.d. random variables that are translated by a consistent estimator
- \(abc\) triples
- On the difference of spectral projections
- Probability essentials.
- Stochastics. Theory and applications.
- Probability essentials
- Origin-destination matrix estimation problem in a Markov chain approach
- About atomless random measures on -rings
- On a randomized backward Euler method for nonlinear evolution equations with time-irregular coefficients
- Circularly invariant uniformizable probability measures for linear transformations
- Empirical spectral measures of quantum graphs in the Benjamini-Schramm limit
- Semiflow selection and Markov selection theorems
- A unified construction of product formulas and convolutions for Sturm-Liouville operators
- A new look at random projections of the cube and general product measures
- A phase transition for preferential attachment models with additive fitness
- The space of invariant measures for countable Markov shifts
- \(q\)-moment estimates for the singular \(p\)-Laplace equation and applications
- Solving the Kolmogorov PDE by means of deep learning
- Deep state-space Gaussian processes
- Permutation invariant strong law of large numbers for exchangeable sequences
- Regularity and approximation of Gaussian random fields evolving temporally over compact two-point homogeneous spaces
- Large deviations for random walks on free products of finitely generated groups
- Collective bias models in two-tier voting systems and the democracy deficit
- Pagerank asymptotics on directed preferential attachment networks
- The distributed Kolkata paise restaurant game
- The asymptotic distribution of the condition number for random circulant matrices
- Quantitative results for banded Toeplitz matrices subject to random and deterministic perturbations
- Spectral flatness and the volume of intersections of \(p\)-ellipsoids
- Are American options European after all?
- Domains of attraction of invariant distributions of the infinite atlas model
- Zero-contact angle solutions to stochastic thin-film equations
- Ergodic optimization and zero temperature limits in negative curvature
- Sanov-type large deviations in Schatten classes
- Geometric ergodicity of affine processes on cones
- Fluctuations of ergodic sums on periodic orbits under specification
- A synthetic approach to Markov kernels, conditional independence and theorems on sufficient statistics
- Dynamic multi-objective estimation of distribution algorithm based on domain adaptation and nonparametric estimation
- Stochastic global optimization algorithms: a systematic formal approach
- Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
- Linearization of expectation-based inequality conditions in control for discrete-time linear systems represented with random polytopes
- Coexistence of localized Gibbs measures and delocalized gradient Gibbs measures on trees
- A note on the stochastic domination condition and uniform integrability with applications to the strong law of large numbers
- Strong laws of large numbers for intermediately trimmed Birkhoff sums of observables with infinite mean
- Central limit theorems for multilevel Monte Carlo methods
- Optimal packings of bounded degree trees
- Regular propagators of bilinear quantum systems
- Betti numbers of Shimura curves and arithmetic three-orbifolds
- Explicit error bounds for randomized Smolyak algorithms and an application to infinite-dimensional integration
- Sticky couplings of multidimensional diffusions with different drifts
- On the boundary of the zero set of super-Brownian motion and its local time
- Right marker speeds of solutions to the KPP equation with noise
- Spectral representations of quasi-infinitely divisible processes
- Effectiveness assessment of cyber-physical systems
- Locally \(D\)-optimal designs for non-linear models on the $k$-dimensional ball
- Quantum ergodicity on graphs: from spectral to spatial delocalization
- The fundamental theorem of mutual insurance
- Gibbs-non-Gibbs transitions in the fuzzy Potts model with a Kac-type interaction: closing the Ising gap
- Probability measure-valued polynomial diffusions
- Propagation of chaos and the many-demes limit for weakly interacting diffusions in the sparse regime
- Boundary-rigidity of projective metrics and the geodesic X-ray transform
- Convergence of partial sum processes to stable processes with application for aggregation of branching processes
- Semimartingale price systems in models with transaction costs beyond efficient friction
- Inference for dependent error functional data with application to event-related potentials
- Extremal inhomogeneous Gibbs states for SOS-models and finite-spin models on trees
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- Functional delta-method for the bootstrap of quasi-Hadamard differentiable functionals
- Random walks in a one-dimensional Lévy random environment
- A random particle blob method for the Keller-Segel equation and convergence analysis
- Generalizations of the centroid with an application in stochastic geometry
- On uniform nonintegrability for a sequence of random variables
- For what trading strategies is the tax payment stream of infinite variation?
- Moment closure approximations of the Boltzmann equation based on \(\varphi \)-divergences
- Local equilibrium in inhomogeneous stochastic models of heat transport
- Quantum and spectral properties of the Labyrinth model
- High-frequency limit of non-autonomous gradient flows of functionals with time-periodic forcing
- Multilevel sequential importance sampling for rare event estimation
- Estimation and simulation for multivariate tempered stable distributions
- Robust economic model predictive control using stochastic information
- A First Look at Rigorous Probability Theory
- An Intermediate Course in Probability
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- Idempotent and multivariate copulas with fractal support
- Graphical Markov models for infinitely many variables
- Global sensitivity analysis for statistical model parameters
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