Probability: A Graduate Course

by Allan Gut

This textbook on the theory of probability starts from the premise that rather than being a purely mathematical discipline, probability theory is an intimate companion of statistics. The book starts with the basic tools, and goes on to cover a number of subjects in detail, including chapters on inequalities, characteristic functions and convergence. This is followed by explanations of the three main subjects in the law of large numbers, the central limit theorem, and the law of the iterated logarithm. After a discussion of generalizations and extensions, the book concludes with an extensive chapter on martingales.

625 pages, Hardcover

First published January 1, 2005