David Williams Probability with Martingales

ISBN 13: 9780511813658

Probability with Martingales

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9780511813658: Probability with Martingales
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This is a masterly introduction to the modern and rigorous theory of probability. The author adopts the martingale theory as his main theme and moves at a lively pace through the subject's rigorous foundations. Measure theory is introduced and then immediately exploited by being applied to real probability theory. Classical results, such as Kolmogorov's Strong Law of Large Numbers and Three-Series Theorem are proved by martingale techniques. A proof of the Central Limit Theorem is also given. The author's style is entertaining and inimitable with pedagogy to the fore. Exercises play a vital role; there is a full quota of interesting and challenging problems, some with hints.

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Book Description:

The author adopts the martingale theory as his main theme in this introduction to the modern theory of probability, which is, perhaps, at a practical level, one of the most useful mathematical theories ever devised.

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The book is written for students, not for researchers, and has evolved through several years of class testing. Exercises play a vital role. Interesting and challenging problems, some with hints, consolidate what has already been learnt, and provide motivation to discover more of the subject than can be covered in a single introduction.

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