Probability With Martingales

| June 2, 2013 | 0 Comments

The first section covers the foundations of probability in measure theoretic terms. i.e events in probability as measurable sets, random variables as measurable functions, expectation as integration with respect to the probability measure etc.  My only criticism is Chapter 8 on product measure could do with more explanation and examples.

The second section in my opinion is where the book really has no equal. Conditional Expectations, Martingales and their convergence theorems are masterfully taught. The exercises on this topic are fun too. It includes the famous how long will it take on average for a monkey to  type ‘ABRACADABRA’!

Rating 4.5/5

Category: Book Reviews, Probability

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