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Probability Essentials, 2e Jean Jacod

Probability Essentials, 2e

Jean Jacod

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Paperback
254 pages
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 About the Book 

This introduction to Probability Theory can be used, at the beginning graduate level, for a one-semester course on Probability Theory or for self-direction without benefit of a formal course- the measure theory needed is developed in the text. ItMoreThis introduction to Probability Theory can be used, at the beginning graduate level, for a one-semester course on Probability Theory or for self-direction without benefit of a formal course- the measure theory needed is developed in the text. It will also be useful for students and teachers in related areas such as Finance Theory (Economics), Electrical Engineering, and Operations Research. The text covers the essentials in a directed and lean way with 28 short chapters. Assuming of readers only an undergraduate background in mathematics, it brings them from a starting knowledge of the subject to a knowledge of the basics of Martingale Theory. After learning Probability Theory from this text, the interested student will be ready to continue with the study of more advanced topics, such as Brownian Motion and Ito Calculus, or Statistical Inference. The second edition contains some additions to the text and to the references and some parts are completely rewritten. Contents :- 1. Introduction 2. Axioms of Probability 3. Conditional Probability and Independence 4. Probabilities on a Finite or Countable Space 5. Random Variables on a Countable Space 6. Construction of a Probability Measure 7. Construction of a Probability Measure on R 8. Random Variables 9. Integration with Respect to a Probability Measure 10. Independent Random Variables 11. Probability Distributions on R 12. Probability Distributions on R 13. Characteristic Functions 14. Properties of Characteristic Functions 15. Sums of Independent Random Variables 16. Gaussian Random Variables (The Normal and the Multivariate Normal Distributions) 17. Convergence of Random Variables 18. Weak Convergence 19. Weak Convergence and Characteristic Functions 20. The Laws of Large Numbers 21. The Central Limit Theorem 22. L2 and Hilbert Spaces 23. Conditional Expectation 24. Martingales 25. Supermartingales and Submartingales 26. Martingale Inequalities 27. Martingale Convergence Theorems 28. The Radon-Nikodym Theorem Ref