Description - A User's Guide to Measure Theoretic Probability by David Pollard
Rigorous probabilistic arguments, built on the foundation of measure theory introduced seventy years ago by Kolmogorov, have invaded many fields. Students of statistics, biostatistics, econometrics, finance, and other changing disciplines now find themselves needing to absorb theory beyond what they might have learned in the typical undergraduate, calculus-based probability course. This book grew from a one-semester course offered for many years to a mixed audience of graduate and undergraduate students who have not had the luxury of taking a course in measure theory. The core of the book covers the basic topics of independence, conditioning, martingales, convergence in distribution, and Fourier transforms. In addition there are numerous sections treating topics traditionally thought of as more advanced, such as coupling and the KMT strong approximation, option pricing via the equivalent martingale measure, and the isoperimetric inequality for Gaussian processes. The book is not just a presentation of mathematical theory, but is also a discussion of why that theory takes its current form.
It will be a secure starting point for anyone who needs to invoke rigorous probabilistic arguments and understand what they mean.
Buy A User's Guide to Measure Theoretic Probability by David Pollard from Australia's Online Independent Bookstore, Boomerang Books.
(253mm x 177mm x 21mm)
Cambridge University Press
Publisher: Cambridge University Press
Country of Publication:
Other Editions - A User's Guide to Measure Theoretic Probability by David Pollard
Book Reviews - A User's Guide to Measure Theoretic Probability by David Pollard