© 1995

An Intermediate Course in Probability


Table of contents

  1. Front Matter
    Pages i-xiii
  2. Allan Gut
    Pages 1-16
  3. Allan Gut
    Pages 17-31
  4. Allan Gut
    Pages 32-59
  5. Allan Gut
    Pages 60-101
  6. Allan Gut
    Pages 102-118
  7. Allan Gut
    Pages 119-148
  8. Allan Gut
    Pages 149-194
  9. Allan Gut
    Pages 195-251
  10. Back Matter
    Pages 253-278

About this book


The purpose of this book is to provide the reader with a solid background and understanding of the basic results and methods in probability the­ ory before entering into more advanced courses (in probability and/or statistics). The presentation is fairly thorough and detailed with many solved examples. Several examples are solved with different methods in order to illustrate their different levels of sophistication, their pros, and their cons. The motivation for this style of exposition is that experi­ ence has proved that the hard part in courses of this kind usually in the application of the results and methods; to know how, when, and where to apply what; and then, technically, to solve a given problem once one knows how to proceed. Exercises are spread out along the way, and every chapter ends with a large selection of problems. Chapters I through VI focus on some central areas of what might be called pure probability theory: multivariate random variables, condi­ tioning, transforms, order variables, the multivariate normal distribution, and convergence. A final chapter is devoted to the Poisson process be­ cause of its fundamental role in the theory of stochastic processes, but also because it provides an excellent application of the results and meth­ ods acquired earlier in the book. As an extra bonus, several facts about this process, which are frequently more or less taken for granted, are thereby properly verified.


Normal distribution Poisson process Probability theory Random variable Stochastic processes measure theory statistics stochastic process

Authors and affiliations

  1. 1.Department of MathematicsUppsala UniversityUppsalaSweden

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".. this book offers a very readable preparation. It gives a nice balance between analytic and probabilistic techniques." P.A.L. Embrechts, ETH-Zurich, Switzerland