Probability Theory, An Analytic View

Daniel W. Stroock (Massachusetts Institute of Technology)

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English

Cambridge University Press
21 November 2024

Calculus & mathematical analysis

The third edition of this highly regarded text provides a rigorous, yet entertaining, introduction to probability theory and the analytic ideas and tools on which the modern theory relies. The main changes are the inclusion of the Gaussian isoperimetric inequality plus many improvements and clarifications throughout the text. With more than 750 exercises, it is ideal for first-year graduate students with a good grasp of undergraduate probability theory and analysis. Starting with results about independent random variables, the author introduces weak convergence of measures and its application to the central limit theorem, and infinitely divisible laws and their associated stochastic processes. Conditional expectation and martingales follow before the context shifts to infinite dimensions, where Gaussian measures and weak convergence of measures are studied. The remainder is devoted to the mutually beneficial connection between probability theory and partial differential equations, culminating in an explanation of the relationship of Brownian motion to classical potential theory.

By: Daniel W. Stroock (Massachusetts Institute of Technology)
Imprint: Cambridge University Press
Country of Publication: United Kingdom
Edition: 3rd Revised edition
Dimensions: Height: 254mm, Width: 177mm, Spine: 25mm
Weight: 850g
ISBN: 9781009549004
ISBN 10: 1009549006
Pages: 466
Publication Date: 21 November 2024
Audience: General/trade , ELT Advanced
Format: Paperback
Publisher's Status: Active

Notation; 1. Sums of independent random variables; 2. The central limit theorem; 3. Infinitely divisible laws; 4. Lévy processes; 5. Conditioning and martingales; 6. Some extensions and applications of martingale theory; 7. Continuous parameter martingales; 8. Gaussian measures on a Banach space; 9. Convergence of measures on a Polish space; 10. Wiener measure and partial differential equations; 11. Some classical potential theory; References; Index.

Daniel W. Stroock is Simons Professor Emeritus of Mathematics at the Massachusetts Institute of Technology. He has published numerous articles and books, most recently 'Elements of Stochastic Calculus and Analysis' (2018) and 'Gaussian Measures in Finite and Infinite Dimensions' (2023).

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Probability Theory, An Analytic View

Daniel W. Stroock (Massachusetts Institute of Technology)

$158.95 $127.20

Paperback

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