Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Probability With Martingales PDF full book. Access full book title Probability With Martingales.
| Author | : David Williams |
| Publisher | : Cambridge University Press |
| Total Pages | : 274 |
| Release | : 1991-02-14 |
| Genre | : Mathematics |
| ISBN | : 9780521406055 |
This is a masterly introduction to the modern, and rigorous, theory of probability. The author emphasises martingales and develops all the necessary measure theory.
| Author | : Yuan S. Chow |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 483 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 1468405047 |
Apart from new examples and exercises, some simplifications of proofs, minor improvements, and correction of typographical errors, the principal change from the first edition is the addition of section 9.5, dealing with the central limit theorem for martingales and more general stochastic arrays. vii Preface to the First Edition Probability theory is a branch of mathematics dealing with chance phenomena and has clearly discernible links with the real world. The origins of the sub ject, generally attributed to investigations by the renowned French mathe matician Fermat of problems posed by a gambling contemporary to Pascal, have been pushed back a century earlier to the Italian mathematicians Cardano and Tartaglia about 1570 (Ore, 1953). Results as significant as the Bernoulli weak law of large numbers appeared as early as 1713, although its counterpart, the Borel strong law oflarge numbers, did not emerge until 1909. Central limit theorems and conditional probabilities were already being investigated in the eighteenth century, but the first serious attempts to grapple with the logical foundations of probability seem to be Keynes (1921), von Mises (1928; 1931), and Kolmogorov (1933).
| Author | : P. Hall |
| Publisher | : Academic Press |
| Total Pages | : 321 |
| Release | : 2014-07-10 |
| Genre | : Mathematics |
| ISBN | : 1483263223 |
Martingale Limit Theory and Its Application discusses the asymptotic properties of martingales, particularly as regards key prototype of probabilistic behavior that has wide applications. The book explains the thesis that martingale theory is central to probability theory, and also examines the relationships between martingales and processes embeddable in or approximated by Brownian motion. The text reviews the martingale convergence theorem, the classical limit theory and analogs, and the martingale limit theorems viewed as the rate of convergence results in the martingale convergence theorem. The book explains the square function inequalities, weak law of large numbers, as well as the strong law of large numbers. The text discusses the reverse martingales, martingale tail sums, the invariance principles in the central limit theorem, and also the law of the iterated logarithm. The book investigates the limit theory for stationary processes via corresponding results for approximating martingales and the estimation of parameters from stochastic processes. The text can be profitably used as a reference for mathematicians, advanced students, and professors of higher mathematics or statistics.
| Author | : Rick Durrett |
| Publisher | : Cambridge University Press |
| Total Pages | : |
| Release | : 2010-08-30 |
| Genre | : Mathematics |
| ISBN | : 113949113X |
This classic introduction to probability theory for beginning graduate students covers laws of large numbers, central limit theorems, random walks, martingales, Markov chains, ergodic theorems, and Brownian motion. It is a comprehensive treatment concentrating on the results that are the most useful for applications. Its philosophy is that the best way to learn probability is to see it in action, so there are 200 examples and 450 problems. The fourth edition begins with a short chapter on measure theory to orient readers new to the subject.
| Author | : René L. Schilling |
| Publisher | : Cambridge University Press |
| Total Pages | : 404 |
| Release | : 2005-11-10 |
| Genre | : Mathematics |
| ISBN | : 9780521850155 |
This book, first published in 2005, introduces measure and integration theory as it is needed in many parts of analysis and probability.
| Author | : David Williams |
| Publisher | : Cambridge University Press |
| Total Pages | : 274 |
| Release | : 1991-02-14 |
| Genre | : Mathematics |
| ISBN | : 1139642987 |
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 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; and it assumes certain key results from measure theory in the main text. These measure-theoretic results are proved in full in appendices, so that the book is completely self-contained. The book is written for students, not for researchers, and has evolved through several years of class testing. Exercises play a vital rôle. Interesting and challenging problems, some with hints, consolidate what has already been learnt, and provide motivation to discover more of the subject than can be covered in a single introduction.
| Author | : Marek Musiela |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 521 |
| Release | : 2013-06-29 |
| Genre | : Mathematics |
| ISBN | : 3662221322 |
A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and presenting to the industry useful maths tools.
| Author | : Achim Klenke |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 621 |
| Release | : 2007-12-31 |
| Genre | : Mathematics |
| ISBN | : 1848000480 |
Aimed primarily at graduate students and researchers, this text is a comprehensive course in modern probability theory and its measure-theoretical foundations. It covers a wide variety of topics, many of which are not usually found in introductory textbooks. The theory is developed rigorously and in a self-contained way, with the chapters on measure theory interlaced with the probabilistic chapters in order to display the power of the abstract concepts in the world of probability theory. In addition, plenty of figures, computer simulations, biographic details of key mathematicians, and a wealth of examples support and enliven the presentation.
| Author | : J.C. Taylor |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 316 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 1461206596 |
Assuming only calculus and linear algebra, Professor Taylor introduces readers to measure theory and probability, discrete martingales, and weak convergence. This is a technically complete, self-contained and rigorous approach that helps the reader to develop basic skills in analysis and probability. Students of pure mathematics and statistics can thus expect to acquire a sound introduction to basic measure theory and probability, while readers with a background in finance, business, or engineering will gain a technical understanding of discrete martingales in the equivalent of one semester. J. C. Taylor is the author of numerous articles on potential theory, both probabilistic and analytic, and is particularly interested in the potential theory of symmetric spaces.
| Author | : B.G. Ivanoff |
| Publisher | : CRC Press |
| Total Pages | : 228 |
| Release | : 1999-10-27 |
| Genre | : Mathematics |
| ISBN | : 9781584880820 |
Set-Indexed Martingales offers a unique, comprehensive development of a general theory of Martingales indexed by a family of sets. The authors establish-for the first time-an appropriate framework that provides a suitable structure for a theory of Martingales with enough generality to include many interesting examples. Developed from first principles, the theory brings together the theories of Martingales with a directed index set and set-indexed stochastic processes. Part One presents several classical concepts extended to this setting, including: stopping, predictability, Doob-Meyer decompositions, martingale characterizations of the set-indexed Poisson process, and Brownian motion. Part Two addresses convergence of sequences of set-indexed processes and introduces functional convergence for processes whose sample paths live in a Skorokhod-type space and semi-functional convergence for processes whose sample paths may be badly behaved. Completely self-contained, the theoretical aspects of this work are rich and promising. With its many important applications-especially in the theory of spatial statistics and in stochastic geometry- Set Indexed Martingales will undoubtedly generate great interest and inspire further research and development of the theory and applications.
