Probability and Measure

Now re-issued in a new style and format, but with the same reliable content of the Third Edition, Probability and Measure offers advanced students, scientists, and engineers an integrated introduction to measure theory and probability. Retaining the unique approach of the previous editions, this tex [...]
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Now re-issued in a new style and format, but with the same reliable content of the Third Edition, Probability and Measure offers advanced students, scientists, and engineers an integrated introduction to measure theory and probability. Retaining the unique approach of the previous editions, this text interweaves material on probability and measure so that probability problems generate an interest in measure theory and measure theory is, then, developed and applied to probability. Probability and Measure provides a thorough coverage of probability, measure, integration, random variables and expected values, convergence of distributions, derivatives and conditional probability, and stochastic processes. In recognition of over thirty years of publication and having impacted tens of thousands of readers, the 2012 Edition features an open and user-friendly design, updated bibliography, improved treatment of Brownian motion, and replacement of queuing theory with ergodic theory. Like its previous editions, this re-issue will be well received by students of mathematics, statistics, economics, and a wide variety of disciplines that require a solid understanding of probability theory. An extensive supplement of additional notes on the problems and chapter commentaries is available at further cost either independently or as a set with the book.