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Foundations of Modern Probability

Olav Kallenberg (Autor)

Buch | Hardcover

638 Seiten

2002 | 2nd ed. 2002
Springer-Verlag New York Inc.
978-0-387-95313-7 (ISBN)

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The first edition of this single volume on the theory of probability has become a highly-praised standard reference for many areas of probability theory. Chapters from the first edition have been revised and corrected, and this edition contains four new chapters. New material covered includes multivariate and ratio ergodic theorems, shift coupling, Palm distributions, Harris recurrence, invariant measures, and strong and weak ergodicity.

* Measure Theory-Basic Notions * Measure Theory-Key Results * Processes, Distributions, and Independence * Random Sequences, Series, and Averages * Characteristic Functions and Classical Limit Theorems * Conditioning and Disintegration * Martingales and Optional Times * Markov Processes and Discrete-Time Chains * Random Walks and Renewal Theory * Stationary Processes and Ergodic Theory *
Special Notions of Symmetry and Invariance * Poisson and Pure Jump-Type Markov Processes * Gaussian Processes and Brownian Motion * Skorohod Embedding and Invariance Principles * Independent Increments and Infinite Divisibility * Convergence of Random Processes, Measures, and Sets * Stochastic Integrals and Quadratic Variation * Continuous Martingales and Brownian Motion * Feller Processes and Semigroups * Ergodic Properties of Markov Processes * Stochastic Differential Equations and Martingale Problems * Local Time, Excursions, and Additive Functionals * One-Dimensional SDEs and Diffusions * Connections with PDEs and Potential Theory * Predictability, Compensation, and Excessive Functions * Semimartingales and General Stochastic Integration * Large Deviations * Appendix 1: Advanced Measure Theory * Appendix 2: Some Special Spaces * Historical and Bibliographical Notes * Bibliography * Indices

Reihe/Serie	Probability and Its Applications
Zusatzinfo	XX, 638 p.
Verlagsort	New York, NY
Sprache	englisch
Maße	156 x 234 mm
Gewicht	2430 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Mathematik / Informatik ► Mathematik ► Geometrie / Topologie
	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
	Naturwissenschaften ► Physik / Astronomie
ISBN-10	0-387-95313-2 / 0387953132
ISBN-13	978-0-387-95313-7 / 9780387953137
Zustand	Neuware