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Probability with Martingales

Authors

David Williams
, Statistical Laboratory, University of Cambridge
Published 1991

Description

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…

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Key features

  • A modern, lively and rigorous account of probability theory using discrete-time martingales as the main theme
  • The treatment is selective, not encyclopaedic, and presents the essentials in a class-tested manner suitable for students
  • Interesting and challenging exercises consolidate what has already been learnt, and provide motivation to investigate the subject further

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