Probability with Martingales (Cambridge Mathematical Textbooks)

著者 :
  • Cambridge University Press
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本棚登録 : 20
レビュー : 4
  • Amazon.co.jp ・洋書 (265ページ)
  • / ISBN・EAN: 9780521406055

作品紹介・あらすじ

Probability theory is nowadays applied in a huge variety of fields including physics, engineering, biology, economics and the social sciences. This book is a modern, lively and rigorous account which has Doob's theory of martingales in discrete time as its main theme. It proves important results such as Kolmogorov's Strong Law of Large Numbers and the Three-Series Theorem by martingale techniques, and the Central Limit Theorem via the use of characteristic functions. A distinguishing feature is its determination to keep the probability flowing at a nice tempo. It achieves this by being selective rather than encyclopaedic, presenting only what is essential to understand the fundamentals; and it assumes certain key results from measure theory in the main text. These measure-theoretic results are proved in full in appendices, so that the book is completely self-contained. 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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  • よくまとまっている上にわかりやすい。

  • 確率論の入門書としては最高の本。

    特に離散時間マルチンゲールについて書かれている。
    マルコフ連鎖の内容には乏しい。

  • 大絶賛!!!!最高の確率論入門書

  • これは理解しておきたい。

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