Foundations of Modern Probability

by Olav Kallenberg

This new, thoroughly revised and expanded 3rd edition of a classic gives a comprehensive coverage of modern probability in a single book. It is a truly modern text, providing not only classical results but also material that will be important for future research. Much has been added to the previous edition, including eight entirely new chapters on subjects like random measures, Malliavin calculus, multivariate arrays, and stochastic differential geometry. Apart from important improvements and revisions, some of the earlier chapters have been entirely rewritten. To help the reader, the material has been grouped together into ten major areas, each arguably indispensable to any serious graduate student and researcher, regardless of their specialization.

Each chapter is largely self-contained and includes plenty of exercises, making the book ideal for self-study and for designing graduate-level courses and seminars in different areas and at different levels. Extensive notes and a detailed bibliography make it easy to go beyond the presented material if desired.

Genres: Mathematics, Textbooks

946 pages, Hardcover

First published August 1, 1997

Reviews

[Tinwerume · Rating 3 out of 5]

Is it good? Is it readable? Are the proofs clear and elegant? Does it have exercises?

No. But in the event that civilization collapses, there's no other book I'd want with me, both because it's sufficient to rederive most of modern probability theory, and because it would make an excellent weapon in a pinch.

Don't use it for self-study. You've been warned.