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  3. Exercises in Probability
  • Cited by 62
  • L. Chaumont, Université de Paris VI (Pierre et Marie Curie), M. Yor, Université de Paris VI (Pierre et Marie Curie)
Publisher:
Cambridge University Press
Online publication date:
January 2010
Print publication year:
2003
Online ISBN:
9780511610813
DOI:
https://doi.org/10.1017/CBO9780511610813
Subjects:
Mathematics, Mathematical Finance, Probability Theory and Stochastic Processes, General Statistics and Probability, Statistics and Probability
Series:
Cambridge Series in Statistical and Probabilistic Mathematics (13)
Information

Book description

This book was first published in 2003. Derived from extensive teaching experience in Paris, this book presents around 100 exercises in probability. The exercises cover measure theory and probability, independence and conditioning, Gaussian variables, distributional computations, convergence of random variables, and random processes. For each exercise the authors have provided detailed solutions as well as references for preliminary and further reading. There are also many insightful notes to motivate the student and set the exercises in context. Students will find these exercises extremely useful for easing the transition between simple and complex probabilistic frameworks. Indeed, many of the exercises here will lead the student on to frontier research topics in probability. Along the way, attention is drawn to a number of traps into which students of probability often fall. This book is ideal for independent study or as the companion to a course in advanced probability theory.

Reviews

Review of the hardback:‘In conclusion, this is an excellent book, which should be in every library, and also on the bookshelf of anyone with interests in advanced probability and random processes.‘

Source: Society for Industrial and Applied Mathematics

Review of the hardback:‘… extremely useful for graduate and postgraduate students and those who want to better understand advanced probability theory.‘

Source: European Mathematical Society Newsletter

Review of the hardback:‘… although the book could profitably be used as a companion to a graduate course in probability theory, it is probability best designed for the doctoral student who can read it alongside the source material. Used in that way, the book is a magnificent resource … consistency and clarity of mathematical style … For beginning researchers in stochastic mathematics, this book comes highly recommended and libraries should obtain a copy.‘

Source: Journal of the Royal Statistical Society: Series A

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