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Foundations of Modern Probability (Springer Series in Statistics. Probability and Its Applications) by Olav Kallenberg

Posted on 2011-01-02




Name:Foundations of Modern Probability (Springer Series in Statistics. Probability and Its Applications) by Olav Kallenberg
ASIN/ISBN:0387949577
Publisher:Springer
Publish Date:2nd edition (October 1997)
Pages:523
File size:2.52 Mb
Publisher: Springer; 2nd edition (October 1997)
ISBN: 0387949577
Pages: 523
File Type: PDF
File Size: 2.52 MB
   Foundations of Modern Probability (Springer Series in Statistics. Probability and Its Applications) by Olav Kallenberg



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This book is unique for its broad and yet comprehensive coverage of modern probability theory, ranging from first principles and standard textbook material to more advanced topics. In spite of the economical exposition, careful proofs are provided for all main results. After a detailed discussion of classical limit theorems, martingales, Markov chains, random walks, and stationary processes, the author moves on to a modern treatment of Brownian motion, L vy processes, weak convergence, It calculus, Feller processes, and SDEs. The more advanced parts include material on local time, excursions, and additive functionals, diffusion processes, PDEs and potential theory, predictable processes, and general semimartingales.

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