Probability with Martingales
Probability with Martingales
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Summary
This key book is a rigorous account which has Doob's theory of martingales in discrete time as its main theme. A distinguishing feature of this study 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.
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Probability with Martingales by David Williams
This is a masterly introduction to the modern and rigorous theory of probability. The author adopts the martingale theory as his main theme and moves at a lively pace through the subject's rigorous foundations. Measure theory is introduced and then immediately exploited by being applied to real probability theory. Classical results, such as Kolmogorov's Strong Law of Large Numbers and Three-Series Theorem are proved by martingale techniques. A proof of the Central Limit Theorem is also given. The author's style is entertaining and inimitable with pedagogy to the fore. Exercises play a vital role; there is a full quota of interesting and challenging problems, some with hints.
'… one of the best introductions to Martingale theory' Monatshefte für Mathematik
| SKU | Unavailable |
| ISBN 13 | 9780521406055 |
| ISBN 10 | 0521406056 |
| Title | Probability with Martingales |
| Author | David Williams |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | Cambridge University Press |
| Year published | 1991-02-14 |
| Number of pages | 265 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |