Wilmott Forums - Probability Theory from Measure Theory

SciComp/Reval Case Study

Forum Navigation:

login

FORUMS > Book And Research Paper Forum

Topic Title: Probability Theory from Measure Theory
Created On Sun Nov 03, 02 09:59 PM

Topic View:

View thread in raw text format

PinballWizard
Senior Member

Posts: 358
Joined: Mar 2002

Sun Nov 03, 02 09:59 PM

User is offline

Recently someone asked about good introductory books on Probability theory and mentioned Sheldon Ross's books. Coming from a science & engineering background I found that the 'applied' probability theory I had picked-up didn't help me a whole lot when it comes to the theory of stochastic processes. The following books helped me 're-learn' probability theory on the basis of measure theory:

1. Probability Models by John Haigh. 2002. Springer Undergraduate Mathematics Series (SUMS).
This book is at the same level as Sheldon Ross's book but spends more time on derivations and stochastic processes.

2. Measure, Integral and Probability by Marek Capinski and Ekkehard Kopp, 1998. Springer Undergraduate Mathematics Series (SUMS).
I havn't found a more approachable intro to Measure theory and the link to Probability.

3. A First Look at Rigorous Probability Theory by Jeffrey S. Rosenthal, 2000. World Scientific.
A great and very compact overview. I find it great as a guide to the terminology and as a road-map, with links to standard texts. I think it is used for the Univ. of Toronto's Fin. Eng. program (Author is at U of T.).

B.

J
Senior Member

Posts: 1755
Joined: Nov 2001

Tue Nov 05, 02 11:02 PM

User is offline

Pinballwizard,
I've done the second you put on the list. It is a good book. Do you know which schools use it as a required textbook?

Edited: Thu Nov 14, 02 at 06:24 PM by J

J
Senior Member

Posts: 1755
Joined: Nov 2001

Wed Nov 06, 02 04:53 AM

User is offline

Is any other folks using MPI (measure, integral and probability) by Capinski and Kopp? We could use this chance to discuss exercises in this book.

PinballWizard
Senior Member

Posts: 358
Joined: Mar 2002

Mon Nov 11, 02 04:18 PM

User is offline

J,

Marek Capinski has also written 'Probability through Problems' which is an ideal companion to the book mentioned above - it's great for self-study and is at about the same level.

Here's the link for more info: Amazon.ca

PW

J
Senior Member

Posts: 1755
Joined: Nov 2001

Wed Nov 13, 02 04:55 AM

User is offline

PinballWizard,
Are you working in Bay street? "Probability through problems" is the required textbook in Math Finance program at U of Waterloo. This book is fundamental, but with a bit of mistakes on proving theorem.
Be careful with the typos in "measure, integral and probabilty". So far, my favorite is Durret's book.

PinballWizard
Senior Member

Posts: 358
Joined: Mar 2002

Thu Nov 14, 02 05:50 PM

User is offline

Yonge Street actually

J
Senior Member

Posts: 1755
Joined: Nov 2001

Fri Nov 15, 02 03:01 AM

User is offline

PinballWizard,
Could you give comments about looking for internships in Canadian Banking for financial modelling jobs?
Is this year tougher than the last year? You could reply me by sending private message if you like.
BTW, "Probabiltiy through problems" gives wrong proof for "if x1,...xn are independent r.v., their join distribution function is equal to the product of individual distribution fuction"

cheers,

Author
Junior Member

Posts: 1
Joined: Apr 2003

Sat Apr 19, 03 11:13 AM

User is offline

From the authors:

Thank you for mentioning our "Probablility Through Problems" book. However, we are mystified by the reference to the wrong proof for "if x1,...xn are independent r.v., their join distribution function is equal to the product of individual distribution function." This is a vacuous claim because:
- There is no such proof in our book, and no such statement (though perhaps it should have been included).
- The notion of joint distribution function does not feature in the book either.

By the way, even though this particular "wrong proof" is not there, a few other mistakes have unfortunately found their way into print. An up to date list of corrections can be found at www.hull.ac.uk/php/mastz/ptp/

Happy reading and problem solving!

WilmottBookshop
Bookshop

Posts: 1075
Joined: Aug 2002

Thu Apr 24, 03 11:41 AM

User is offline

Hi

'Probability through Problems' is available in the Wilmott Bookshop:

Probability through Problems'

Philip

brianjd
Member

Posts: 22
Joined: Apr 2004

Fri Aug 21, 09 08:06 PM

User is offline

Can anyone pm me solutions or point out a course site with selected solutions to Rosenthal's book? I'm trying to self-teach measure theory. I have the Capinski book and, fortunately, there are solutions in his book. Rosenthal's is a wonderful book with many great exercises but, unfortunately, there are no exercise solutions. This drives me crazy!

View thread in raw text format

FORUMS > Book And Research Paper Forum

Forum Navigation:

© All material, including contents and design, copyright Wilmott Electronic Media Limited - FuseTalk 4.01 © 1999-2010 FuseTalk Inc.