scientific article; zbMATH DE number 1199736

Publication date 16 September 1998

distribution theory limit theorems probability theory

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Foundations of probability theory (60Axx) Distribution theory (60Exx) Limit theorems in probability theory (60Fxx) Special processes (60Kxx)

Review text

This excellent monograph on probability theory grew out of a series of earlier versions first written in Russian (1976), later translated into German [(1976; Zbl 0345.60001)] and a more recent Russian [(1986; Zbl 0662.60001)] edition. Several sections have been substantially revised during this process. Furthermore, new sections and chapters have been included that substantially improve the value of the book. The present English (1998) version represents a rigorous and clear exposition of the fundamentals of probability theory and contains applications of many areas. The author succeeds at several occasions in making difficult proofs rather transparent and illustrative. The book is organised in twenty one self-contained chapters and represents an ideal text for teaching and reference. The basics of probability theory are contained in the first ten chapters. The remainder of the book can be split into two parts. These concern random sequences in Chapters 12 and 14--16 and stochastic processes in continuous time in the Chapters 17--21. Furthermore, Chapter 13, which focuses on information and entropy, is not in the mainstream of the book but rather informative and well written. Also Chapter 19 on fundamental limit theorems is slightly separate. It contains important limit theorems for the convergence of cumulative sums of random variables to the Wiener and the Poisson process. The contents of the book covers the topics: discrete space of elementary events, arbitrary space of elementary events, random variables and distribution functions, numerical characteristics of random variables, sequences of independent trials with two outcomes, convergence of random variables and distributions, characteristic functions, sequences of independent random variables and limit theorems, elements of renewal theory, sequences of independent random variables, factorisation identities, sequences of dependent trials and Markov chains, information and entropy, martingales, stationary sequences, stochastically recursive sequences, continuous time random processes, processes with independent increments, functional limit theorems, Markov processes, processes with finite second moments and Gaussian processes. An appendix gives additional information on certain topics. The bibliography provides a very good overview about the relevant Russian literature but does not cover many other sources. This comprehensive book can be recommended to undergraduate mathematics students after two years of study. It is also a good reference for postgraduates and lectures. The book is clearly written but would still benefit from some linguistic improvements. In summary this monograph is an important source for teaching and study which basis itself in the Russian school of probability theory.

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