About the book
S. R. S. Varadhan built this graduate text from a first-year graduate probability course taught at the Courant Institute of Mathematical Sciences. It develops the measure theory the subject depends on, including the construction of measures, the extension theorem, integration, product spaces, the Radon-Nikodym theorem and conditional expectation. Characteristic functions are introduced in the first part of the book, followed by a study of the weak convergence of probability distributions. Limit theorems, in both their weak and strong forms, for sums of independent random variables follow. It was published in 2001.
Nassim Nicholas Taleb praised it for its concision and completeness, noting that he bought a second copy after losing the first.
We hope you love the books people recommend! Just so you know, The CEO Library may collect a share of sales or other compensation from the links on this page.
This book has 1 recommendation
Nassim Nicholas Taleb (Flaneur)
I know which books I value when I end up buying a second copy after losing the first one. This book gives a complete overview of the basis of probability theory with some grounding in measure theory, and presents the main proofs. It is remarkable because of its concision and completeness: visibly prof Varadhan lectured from these notes and kept improving on them until we got this gem. There is not a single sentence too many, yet nothing is missing.
For those who don't know who he is, Varadhan stands as one of the greatest probabilists of all time. Learning probability from him is like learning from Aristotle. Varadhan has two other similar volumes one covering stochastic processes the other into the theory of large deviations (though older than this current text).
The book on Stochastic Processes should be paired with this one.
Get this book on Amazon | Barnes & Noble